Testing the Random Walk Hypothesis: Power versus Frequency of Observation

Robert J. Shiller · Pierre Perron Z

475 citations0/0 files storedNational Bureau of Economic Research

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Financial Markets and Investment Strategies Monetary Policy and Economic Impact Financial Risk and Volatility Modeling

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.

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