Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity

Journal of Econometrics

Volumn 115, Issue 2, 2003, Pages 259-276

  Luger, Richard ^a  

^a BANK OF CANADA   (Canada)

Author keywords

Conditional heteroskedasticity; Exact inference; Multivariate symmetry; Nonparametric tests; Random walk; Unit root

Indexed keywords

COMPUTER SIMULATION; LINEAR PROGRAMMING; MULTIVARIABLE SYSTEMS; TIME SERIES ANALYSIS;

HETEROSCEDASTICITY; RANDOM WALK HYPOTHESIS;

RANDOM PROCESSES;

EID: 0347985225     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(03)00097-6     Document Type: Article

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