THE DICKEY–FULLER TEST FOR EXPONENTIAL RANDOM WALKS

DOI10.1017/S0266466603195072zbMath1441.62659MaRDI QIDQ4561985

Walter Kramer, Laurie Davies

Publication date: 14 December 2018

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

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Sums of independent random variables; random walks (60G50)

Related Items (1)

Exponential functionals of integrated processes

Cites Work

• ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
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