The Dickey-Fuller-test for exponential random walks
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Date
2000
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Universitätsbibliothek Dortmund
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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.