Language selection

Government of Canada / Gouvernement du Canada

Search

Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity / by Richard Luger.: FB3-2/101-2E

Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.615537&sl=0

Publication information
Department/Agency
  • Bank of Canada.
TitleExact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity / by Richard Luger.
Series title
  • Working paper 1192-5434 2001-2
Publication typeMonograph - View Master Record
Language[English]
FormatPhysical text
Other formatsDigital text-[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.
  • Résumés en français
Publishing information
  • Ottawa - Ontario : Bank of Canada 2001.
BindingSoftcover
Descriptionv, 25p. : references, tables ; 28 cm.
ISBN0-662-30119-6
ISSN1192-5434
Catalogue number
  • FB3-2/101-2E
Subject terms
Request alternate formats
To request an alternate format of a publication, complete the Government of Canada Publications email form. Use the form’s “question or comment” field to specify the requested publication.

Page details

Report a problem or mistake on this page
Date modified: