Testing the Random Walk Hypothesis: Power versus Frequency of Observation
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.
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Copy CitationRobert 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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