The Dickey-Fuller-test for exponential random walks

Laurie Davies and Walter Krämer

No 2000,29, Technical Reports from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen

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.

Date: 2000
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Related works:
Journal Article: THE DICKEY–FULLER TEST FOR EXPONENTIAL RANDOM WALKS (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb475:200029

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