The Limit Distribution of level Crossings of a Random Walk, and a Simple Unit Root Test
We derive the limit distribution of the number of crossings of a level by a random walk with continuously distributed increments, using a Brownian motion local time approximation. This complements the well-known result for the random walk on the integers. Use of the frequency of level crossings to test for a unit root is examined.
Year of publication: |
1996
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Authors: | Burridge, Peter ; Guerre, Emmanuel |
Published in: |
Econometric Theory. - Cambridge University Press. - Vol. 12.1996, 04, p. 705-723
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Publisher: |
Cambridge University Press |
Description of contents: | Abstract [journals.cambridge.org] |
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