This study tests the random walk hypothesis for the Indian stock market. Using 19 years of monthly data on six indices from the National Stock Exchange (NSE) and the Bombay Stock Exchange (BSE), this study applies three different unit root tests with two structural breaks to analyse the random walk hypothesis. We find that unit root tests that allow for two structural breaks alone are not able ...

This article concerns the unit root testing under nonstandard conditions for a time series process, such as having an innovation process with non-stationary variance and being limited inside interval. These are investigated separately in literature shown to cause problems, size distortions. In this article, we consider presence of both tests simultaneously. The simulation results indicate that ...

In this paper, we consider a sieve bootstrap for the test of a unit root in models driven by general linear processes. The given model is ...rst approximated by a ...nite autoregressive integrated process of order increasing with the sample size, and then the method of bootstrap is applied for the approximated autoregression to obtain the critical values for the usual unit root tests. The resul...