On the Performance of Wavelet Based Unit Root Tests
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Dosyalar
Tarih
2018-09
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
MDPI
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
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.
Açıklama
Anahtar Kelimeler
unit root testing, wavelet, GLS detrending
Kaynak
JOURNAL OF RISK AND FINANCIAL MANAGEMENT
WoS Q Değeri
N/A
