Testing the Random Walk Hypothesis: Power versus Frequency of Observation

Robert Shiller and Pierre Perron

No 45, NBER Technical Working Papers from National Bureau of Economic Research, Inc

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.

Date: 1985-04
Note: ME
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Published as Perron, Pierre and Robert J. Shiller. "Testing the Random Walk Hypothesis: Power Versus Frequency of Observation," Economic Letters, Vol. 18, 1985,pp. 381-386.

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Journal Article: Testing the random walk hypothesis: Power versus frequency of observation (1985)
Working Paper: Testing the Random Walk Hypothesis: Power Versus Frequency of Observation (1984)
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