Random walks, random chains and the contributions of Holbrook Working

Unit root econometrics have been a dynamic branch of the time series literature from the mid-to-late 1970s up to the present day. But the concept and idea that many economic and financial time series follow patterns that resemble random walks is essentially not that recent. In this short note we bring attention to one of the great pioneers of pre-1960s econometrics that has clearly and definitively understood and suggested that such series might and do follow random walks: Holbrook Working. Working’s research was important in this topic but he has not been extensively referenced in later sources, even in papers that are now considered methodological breakthroughs. We believe that Working’s name should be restored among theoretical and practicing econometricians for his foresight and contributions to the field.