Testing the Random Walk Hypothesis: Power versus Frequency of Observation
NBER Technical Working Paper No. 45
Power functions of tests of the random walk hypothesis versus stationary first order autoregressive alternatives are tabulated for samples of fixed span but various frequencies of observation.
Document Object Identifier (DOI): 10.3386/t0045
Published: Perron, Pierre and Robert J. Shiller. "Testing the Random Walk Hypothesis: Power Versus Frequency of Observation," Economic Letters, Vol. 18, 1985,pp. 381-386.
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