Title

Testing the Random Walk Hypothesis: Power versus Frequency of Observation

Document Type

Discussion Paper

Publication Date

12-1-1984

CFDP Number

732

CFDP Pages

28

Abstract

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.

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