Author:
Eroğlu Burak,Soybilgen Barış
Abstract
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.
Reference16 articles.
1. ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
2. Distribution of the estimators for autoregressive time series with a unit root;Dickey;Journal of the American Statistical Association,1979
3. Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
4. Efficient Tests for an Autoregressive Unit Root
5. Wavelet Variance Ratio Test And Wavestrapping for the Determination of the Cointegration Rank;Eroğu,2018
Cited by
13 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献