SUMS OF EXPONENTIALS OF RANDOM WALKS WITH DRIFT

DOI10.1017/S026646661100082XzbMath1259.60048MaRDI QIDQ2909253

Xi Qu, Robert M. de Jong

Publication date: 30 August 2012

Published in: Econometric Theory (Search for Journal in Brave)

zbMATH Keywords

convergence in distributionsimulationsunit root processDickey-Fuller testKPSS statisticexponentials of random walks with drift

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50)

Related Items (2)

Exact probability distribution function for the volatility of cumulative production ⋮ THE SUM OF THE RECIPROCAL OF THE RANDOM WALK

Cites Work

• Unnamed Item
• Growth of random walks conditioned to stay positive
• Some generalizations on the algebra of I(1) processes
• Rank tests for unit roots
• NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES:A RECONSIDERATION
• NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES

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