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The Dickey-Fuller-test for exponential random walks

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  • Davies, Laurie
  • Krämer, Walter

Abstract

We derive the probability limit of the standard Dickey-Fuller-test in the context of an exponential random walk. This result might be useful in interpreting tests for unit roots when the test is inadvertantly applied to the levels of the data when the true random walk is in the logs.

Suggested Citation

  • Davies, Laurie & Krämer, Walter, 2000. "The Dickey-Fuller-test for exponential random walks," Technical Reports 2000,29, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    • Handle: RePEc:zbw:sfb475:200029
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    File URL: https://www.econstor.eu/bitstream/10419/77185/2/2000-29.pdf
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    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.

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