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.

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Year of publication:	1996
Authors:	Burridge, Peter ; Guerre, Emmanuel
Published in:	Econometric Theory. - Cambridge University Press. - Vol. 12.1996, 04, p. 705-723
Publisher:	Cambridge University Press
Description of contents:	Abstract [journals.cambridge.org]

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005104700