Testing the Random Walk Hypothesis: Power Versus Frequency of Observation
Pierre Perron and
Robert Shiller
No 732, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University
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. For a t-test and normalized test, power is found to depend, for a substantial range of parameter values, more on the span of the data in time than on the number of observations. For a runs test, power rapidly declines as the number of observations is increased beyond a certain point.
Keywords: Random walk; unit roots; power function; efficient markets hypothesis (search for similar items in EconPapers)
Pages: 28 pages
Date: 1984-12
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Citations: View citations in EconPapers (30)
Published in Economics Letters (1985), 18: 381-386
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