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Four tests for the random walk hypothesis: Power versus robustness

✍ Scribed by Jagdish Handa; Barry K. Ma

Book ID
116100829
Publisher
Elsevier Science
Year
1989
Tongue
English
Weight
299 KB
Volume
29
Category
Article
ISSN
0165-1765

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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