Testing the random walk hypothesis
Economics LettersPublished 1 January 1985
Robert J. Shiller, Pierre Perrón
Citations365
SJR quartileQ2
SJR score0.76
SNIP0.98
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Abstract
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.
Keywords
Decision SciencesMathematicsEconomics, Econometrics and Finance
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