IDEAS home Printed from https://ideas.repec.org/a/cup/etheor/v19y2003i05p865-877_19.html
   My bibliography  Save this article

The Dickey–Fuller Test For Exponential Random Walks

Author

Listed:
  • Davies, P.L.
  • Krämer, W.

Abstract

A common test in econometrics is the Dickey–Fuller test, which is based on the test statistic . We investigate the behavior of the test statistic if the data yt are given by an exponential random walk exp(Zt) where Zt = Zt−1 + σεt and the εt are independent and identically distributed random variables. The test statistic DF(T) is a nonlinear transformation of the partial sums of εt process. Under certain moment conditions on the εt we show that tends to one as λ → 0. For the particular case that the εt define a simple random walk it is shown that plimT→∞ DF(T)/T exists and the limit is evaluated. The theoretical results are illustrated by some simulation experiments.We gratefully acknowledge the help of an anonymous referee whose comments on the first two versions of this paper enabled us to reduce the number of mistakes and to increase the clarity of presentation. The authors' research was supported in part by Sonderforschungsbereich 475, University of Dortmund.

Suggested Citation

  • Davies, P.L. & Krämer, W., 2003. "The Dickey–Fuller Test For Exponential Random Walks," Econometric Theory, Cambridge University Press, vol. 19(5), pages 865-877, October.
    • Handle: RePEc:cup:etheor:v:19:y:2003:i:05:p:865-877_19
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0266466603195072/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Lee, Jungick & de Jong, Robert M., 2008. "Exponential functionals of integrated processes," Economics Letters, Elsevier, vol. 100(2), pages 181-184, August.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:19:y:2003:i:05:p:865-877_19. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/ect .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.