ADF, Random walk, Question

[mauzj]

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?

 

[Aspire]

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

 

[mauzj]

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

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]

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

 

[Aspire]

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?

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