Variance-ratio Tests Robust to a Break in Drift

摘要: We consider a simple random walk process which exhibits deterministic break in its drift term: for instance, from positive to negative. demonstrate both theoretically and by simulation that when the standard variance ratio test is applied this process, phenomenon of spurious rejections hypothesis can occur. further propose modi fied version avoid such problem. Finally, we discuss some implications finding on previously revealed empirical evidence against exchange rates.