Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity / by Richard Luger. : FB3-2/101-2E-PDF
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| Department/Agency | Bank of Canada. |
|---|---|
| Title | Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity / by Richard Luger. |
| Series title | Bank of Canada working paper1701-93972001-2 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Other formats | Paper-[English] |
| Note(s) | "The paper's main motive was to provide a generalization of the non-parametric bounds tests for a random walk with unknown drift proposed in Campbell and Dufour (1997)... Although the proposed methods have been illustrated with financial time series, they have general applicability. The methods will have high discriminatory power in the context of macroeconomic time series, for example, where the drift term is usually large."--Concluding remarks. The ISSN (1192-5434) for the print edition has been incorrectly copied in this electronic publication. Résumé en français. |
| Publishing information | Ottawa - Ontario : Bank of Canada February 2001. |
| Description | 35p.references, tables |
| ISSN | 1701-9397 |
| Catalogue number |
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| Subject terms | Currency Testing |