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
Hauptverfasser:	Eroğlu, Burak Alparslan, Soybilgen, Barış
Format:	Artikel
Sprache:	eng
Schlagworte:	Approximation Cointegration analysis Decomposition Dickey, David Economic models GLS detrending Mathematical functions Monte Carlo simulation Time series unit root testing wavelet Wavelet transforms
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