The Limit Distribution of level Crossings of a Random Walk, and a Simple Unit Root Test

B-Tier
Journal: Econometric Theory
Year: 1996
Volume: 12
Issue: 4
Pages: 705-723

Authors (2)

Burridge, Peter (University of York) Guerre, Emmanuel (not in RePEc)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

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.

Technical Details

RePEc Handle
repec:cup:etheor:v:12:y:1996:i:04:p:705-723_00
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25