Authors: Davies, P. Laurie
Krämer, Walter
Title: The Dickey-Fuller-test for exponential random walks
Language (ISO): en
Abstract: We derive the probability limit of the standard Dickey-Fuller-test in the context of an exponential random walk. This result might be useful in interpreting tests for unit roots when the test is inadvertantly applied to the levels of the data when the "true" random walk is in the logs.
URI: http://hdl.handle.net/2003/5034
http://dx.doi.org/10.17877/DE290R-15126
Issue Date: 2000
Publisher: Universitätsbibliothek Dortmund
Appears in Collections:Sonderforschungsbereich (SFB) 475

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