Testing the Random Walk Hypothesis: Power versus Frequency of Observation

Robert J. Shiller & Pierre Perron
Technical Working Paper 0045
DOI 10.3386/t0045
Issue Date

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.

  • Robert J. Shiller and Pierre Perron, "Testing the Random Walk Hypothesis: Power versus Frequency of Observation," NBER Working Paper t0045 (1985), https://doi.org/10.3386/t0045.

Published Versions

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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Topics

Macroeconomics
Econometrics

Programs

Monetary Economics

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