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A Nonlinear Test of the Random-Walk Hypothesis

โœ Scribed by R. L. Crouch


Book ID
125657851
Publisher
American Economic Association
Year
1970
Tongue
English
Weight
235 KB
Volume
60
Category
Article
ISSN
0002-8282

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๐Ÿ“œ SIMILAR VOLUMES


On the Random Walk Hypothesis
โœ Bruce D. Fielitz ๐Ÿ“‚ Article ๐Ÿ“… 1971 ๐Ÿ› SAGE Publications ๐ŸŒ English โš– 468 KB
Testing the random walk hypothesis for r
โœ In Choi ๐Ÿ“‚ Article ๐Ÿ“… 1999 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 183 KB ๐Ÿ‘ 1 views

This paper tests the random walk hypothesis for the log-dierenced monthly US real exchange rates versus some major currencies. The tests we use are variance ratio test, Durlauf's (1991) spectral domain tests and Andrews and Ploberger's (1996) optimal tests. The variance ratio test is calculated by u