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 |
Provenance: | Universitätsbibliothek Dortmund |
Appears in Collections: | Sonderforschungsbereich (SFB) 475 |
Files in This Item:
File | Description | Size | Format | |
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2000_29.pdf | DNB | 158.02 kB | Adobe PDF | View/Open |
tr29-00.ps | 172.72 kB | Postscript | View/Open |
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