On the performance of wavelet based unit root tests
In this paper, we apply the wavelet methods in the popular Augmented Dickey-Fuller and M types of unit root tests. Moreover, we provide an extensive comparison of the wavelet based unit root tests which also includes the recent contributions in the literature. Moreover, we derive the asymptotic prop...
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| Veröffentlicht in: | Journal of risk and financial management 2018-09, Vol.11 (3), p.1-22 |
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| container_title | Journal of risk and financial management |
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| creator | Eroğlu, Burak Alparslan Soybilgen, Barış |
| description | In this paper, we apply the wavelet methods in the popular Augmented Dickey-Fuller and M types of unit root tests. Moreover, we provide an extensive comparison of the wavelet based unit root tests which also includes the recent contributions in the literature. Moreover, we derive the asymptotic properties of the wavelet based unit root tests under generalized least squares detrending mechanism. We demonstrate that the wavelet based M tests exhibit better size performance even in problematic cases such as the presence of negative moving average innovations. However, the power performances of the wavelet based unit root tests are quite similar to each other. |
| doi_str_mv | 10.3390/jrfm11030047 |
| format | Article |
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| identifier | ISSN: 1911-8074 |
| ispartof | Journal of risk and financial management, 2018-09, Vol.11 (3), p.1-22 |
| issn | 1911-8074 1911-8066 1911-8074 |
| language | eng |
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| source | MDPI - Multidisciplinary Digital Publishing Institute; EZB-FREE-00999 freely available EZB journals |
| subjects | Approximation Cointegration analysis Decomposition Dickey, David Economic models GLS detrending Mathematical functions Monte Carlo simulation Time series unit root testing wavelet Wavelet transforms |
| title | On the performance of wavelet based unit root tests |
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