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Testing the random walk hypothesis:Power versus frequency of observation

Authors
Journal
Economics Letters
0165-1765
Publisher
Elsevier
Publication Date
Volume
18
Issue
4
Identifiers
DOI: 10.1016/0165-1765(85)90058-8

Abstract

Abstract Power functions of tests of the random walk hypothesis versus stationary first-order autoregressive alternatives are tabulated for samples of fixed span but various frequencies of observation.

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