The Dickey-Fuller-test for exponential random walks

dc.contributor.author	Davies, P. Laurie	de
dc.contributor.author	Krämer, Walter	de
dc.date.accessioned	2004-12-06T18:42:35Z
dc.date.available	2004-12-06T18:42:35Z
dc.date.issued	2000	de
dc.description.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.	de
dc.format.extent	161816 bytes
dc.format.extent	176869 bytes
dc.format.mimetype	application/pdf
dc.format.mimetype	application/postscript
dc.identifier.uri	http://hdl.handle.net/2003/5034
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-15126
dc.language.iso	en	de
dc.publisher	Universitätsbibliothek Dortmund	de
dc.subject.ddc	310	de
dc.title	The Dickey-Fuller-test for exponential random walks	en
dc.type	Text	de
dc.type.publicationtype	report	en
dcterms.accessRights	open access

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