Testing the Random Walk Hypothesis: Power versus Frequency of Observation
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NBER Technical Working Paper No. 45
Issued in April 1985
NBER Program(s): ME
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.
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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