COWLES FOUNDATION FOR RESEARCH IN
ECONOMICS Box 208281
COWLES FOUNDATION DISCUSSION PAPER NO. 732 "Testing the Random Walk Hypothesis: Robert J. Shiller and Pierre Perron December 1984 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. For a t-test and normalized test, power is found to
depend, for a substantial range of parameter values, more on the span of the data in time
than on the number of observations. For a runs test, power rapidly declines as the number
of observations is increased beyond a certain point. |
