Testing the Random Walk Hypothesis: Power Versus Frequency of Observation

14 Pages Posted: 4 Jul 2004 Last revised: 18 Aug 2010

See all articles by Robert J. Shiller

Robert J. Shiller

Yale University - Cowles Foundation; National Bureau of Economic Research (NBER); Yale University - International Center for Finance

Pierre Perron

Boston University - Department of Economics

Date Written: April 1985

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.

Suggested Citation

Shiller, Robert J. and Perron, Pierre, Testing the Random Walk Hypothesis: Power Versus Frequency of Observation (April 1985). NBER Working Paper No. t0045. Available at SSRN: https://ssrn.com/abstract=294073

Robert J. Shiller (Contact Author)

Yale University - Cowles Foundation ( email )

Box 208281
New Haven, CT 06520-8281
United States
203-432-3708 (Phone)
203-432-6167 (Fax)

HOME PAGE: http://www.econ.yale.edu/~shiller/

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States
203-432-3708 (Phone)

Yale University - International Center for Finance ( email )

Box 208200
New Haven, CT 06520
United States
203-432-3708 (Phone)
203-432-6167 (Fax)

Pierre Perron

Boston University - Department of Economics ( email )

270 Bay State Road
Boston, MA 02215
United States
617-353-3026 (Phone)

Register to save articles to
your library

Register

Paper statistics

Downloads
105
Abstract Views
1,546
rank
253,360
PlumX Metrics