Finite Sample Lag Adjusted Critical Values and Probability Values for the Fourier Wavelet Unit Root Test
Author:
Publisher
Springer Science and Business Media LLC
Subject
Computer Science Applications,Economics, Econometrics and Finance (miscellaneous)
Link
https://link.springer.com/content/pdf/10.1007/s10614-023-10458-4.pdf
Reference23 articles.
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2. Bastianin, A., Lanza, A., & Manera, M. (2018). Economic impacts of El Niño Southern oscillation: Evidence from the Columbian coffee market. Agricultural Economics, 49(5), 623–633. https://doi.org/10.1111/agec.12447
3. Cheung, Y., & Lai, K. (1995). Lag order and critical values of a modified Dickey–Fuller test. Oxford Bulletin of Economics and Statistics, 57, 411–419.
4. Cook, S. (2001). Finite sample critical values of the augmented Dickey-Fuller statistic: ANote on lag order. Economic Issues, 16(2), 31–38.
5. Dickey, D., & Fuller, W. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), 427–431.
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