C2 - Single Equation Models; Single Variables - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T18:37:23+00:00Exact Non-Parametric Tests for a Random Walk with Unknown Drift under Conditional Heteroscedasticity
https://www.bankofcanada.ca/2001/02/working-paper-2001-2/
This paper proposes a class of linear signed rank statistics to test for a random walk with unknown drift in the presence of arbitrary forms of conditional heteroscedasticity.2001-02-01T13:32:09+00:00enExact Non-Parametric Tests for a Random Walk with Unknown Drift under Conditional Heteroscedasticity2001-02-01Econometric and statistical methodsWorking Paper 2001-2 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp01-2.pdfExact Non-Parametric Tests for a Random Walk with Unknown Drift under Conditional HeteroscedasticityRichard LugerFebruary 2001CC1C12C2C22