The Limit Distribution of level Crossings of a Random Walk, and a Simple Unit Root Test

Peter Burridge () and Emmanuel Guerre ()

Econometric Theory, 1996, vol. 12, issue 04, pages 705-723

Abstract: We derive the limit distribution of the number of crossings of a level by a random walk with continuously distributed increments, using a Brownian motion local time approximation. This complements the well-known result for the random walk on the integers. Use of the frequency of level crossings to test for a unit root is examined.

Date: 1996

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