Unit Roots Tests: Evidence from the Foreign Exchange Futures Market
检验了1977-1983年间五种外汇期货价格序列是否存在单位根，发现它们具有单单位根（边界非平稳），其对数序列可近似为随机游走。
In this paper, tests are conducted for the presence of unit roots in the autoregression representation of foreign exchange currency futures price series. The results obtained from five different currency futures over the 1977–1983 period suggestthat foreign currency futures rates have autoregressive representations with a singleunit root (i.e., borderline nonstationarity). In view of this result, it appears thatthe process generating the natural logarithm of foreign currency futures rates may well be approximated by random walks.