ADF, Random walk, Question

mauzj

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• Feb 19, 2009

• #1

If I generated 100 random walks of length 50, and then tested them using ADF at a 5% level, what proportion of the would I expect to pass the ADF test and be spuriously reported as being stationary?

 

A

Aspire

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• Feb 19, 2009

• #2

Don't know. The markets do not randomly walk. Fact.

 

mauzj

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• Feb 19, 2009

• #3

Aspire said:

Don't know. The markets do not randomly walk. Fact.

Click to expand...

Maybe I'm trying to model the paths home taken by drunken bank directors, and planning to get vengeance for the rogerings they've been handing out lately?

 

arabianights

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• Feb 19, 2009

• #4

You need an excuse for homosexual rape now? Who knew?

 

A

Aspire

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• Feb 19, 2009

• #5

mauzj said:

Maybe I'm trying to model the paths home taken by drunken bank directors, and planning to get vengeance for the rogerings they've been handing out lately?

Click to expand...

Sorry. My bad. didn't think of that.