Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/77185
Authors: 
Davies, Laurie
Krämer, Walter
Year of Publication: 
2000
Series/Report no.: 
Technical Report, SFB 475: Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 2000,29
Abstract: 
We derive the probability limit of the standard Dickey-Fuller-test in the context of an exponential random walk. This result might be useful in interpreting tests for unit roots when the test is inadvertantly applied to the levels of the data when the true random walk is in the logs.
Document Type: 
Working Paper

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