On the Randomized Unit Root ─Simulation and Empirical Study
碩士 === 國立暨南國際大學 === 經濟學系 === 88 === In this thesis, we first investigate the finite sample property of the randomized unit root test (RI(1) test) of McCabe and Tremayne (1995) by extensive simulations. We then apply the RI(1) test on 18 stock price/indices. Among them, about 50% are suspected to fol...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2000
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| Online Access: | http://ndltd.ncl.edu.tw/handle/84vke9 |