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THE SUM OF THE RECIPROCAL OF THE RANDOM WALK

  • Jon Michel (a1) and Robert de Jong (a1)
Abstract

This paper derives the limit distribution of the rescaled sum of the reciprocal of the positive part of a random walk with continuously distributed innovations, and of the rescaled sum of the reciprocal of the absolute value of a random walk with continuously distributed innovations. It also considers this statistic for the case of a simple random walk, and shows that the limit distribution is different for this case.

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*Address correspondence to Jon Michel, Department of Economics, Ohio State University, 304 Arps Hall, Columbus, OH 43210, USA; e-mail: michel.82@osu.edu.
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We would like to thank the Editor (Peter C.B. Phillips), Co-Editor (Benedikt Pötscher), and two anonymous referees for numerous useful comments and suggestions.

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References
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Econometric Theory
  • ISSN: 0266-4666
  • EISSN: 1469-4360
  • URL: /core/journals/econometric-theory
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