Econometric issues in the estimation of persistence in macroeconomic time series are considered. In particular, the relative merits of estimates based on ARMA models, ARFIMA models and nonparametric procedures are investigated. It is shown that ARFIMA models are inappropriate for the purpose of...

This paper is concerned with subjecting two popular assumptions about the behavior of stock market prices to empirical tests: first, the random walk hypothesis developed by Bachelier (1900), Osborne (1959), and Mandelbrot (1963); second, the stable distributions hypothesis by Mandelbrot (1963)...