TY  - JOUR
AU  - Shiller,Robert J.
AU  - Perron,Pierre
TI  - Testing the Random Walk Hypothesis:  Power versus Frequency  of Observation
JF  - National Bureau of Economic Research Technical Working Paper Series
VL  - No. 45
PY  - 1985
Y2  - April 1985
UR  - http://www.nber.org/papers/t0045
L1  - http://www.nber.org/papers/t0045.pdf
N1  - Author contact info:
Robert J. Shiller
Yale University, Cowles Foundation
Box 208281
30 Hillhouse Avenue
New Haven, CT  06520-8281
Tel: 203/432-3708
Fax: 203/432-6167
E-Mail: robert.shiller@yale.edu

Pierre Perron
Department of Economics
Boston University
270 Bay State Road
Boston, MA  02215
E-Mail: perron@bu.edu
AB  - 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.
ER  -