Work

Testing the Random Walk Hypothesis: Power versus Frequency of Observation

Year: 1985

Type: report

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.

Source: National Bureau of Economic Research

DOI: 10.3386/t0045

Authors: Robert Shiller, Pierre Perron

Institutions: National Bureau of Economic Research, Yale University, Boston University

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1854937985

Cites:

Cited by: 475

Related to: 10