Sankhya: The Indian Journal of Statistics

1994, Volume 56, Series B, Pt. 3 , pp. 356--368

TESTS OF A RANDOM WALK MODEL AGAINST A CLASS OF REGRESSION MODELS AND THEIR POWERS

By

M. W. LESLIE CHANDRAKANTHA, Claflin College

J. S. MEHTA, Temple University

and

P. A. V. B. SWAMY, Federal Reserve Board

SUMMARY. This paper considers ratios of sample second moments about zero (or the respective sample means) of the differences of variables which are one and $k$ periods apart, with $k > 1$, and shows how the tests based on these ratios give strong evidence against random walk models or regression models with unknown functional forms.

AMS (1980) subject classification. 60J15, 62J02, 62J05, 62G10, 62F04, 62G35.

Key words and phrases. Random walks, regressions, ratios of variances, powers of tests.

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This article in mathematical reviews.