On the Performance of Wavelet Based Unit Root Tests

Basit Öğe Kaydı
dc.WoS.categoriesBusiness, Financeen_US
dc.authorid0000-0001-6814-747Xen_US
dc.contributor.authorEroğlu, Burak Alparslan
dc.contributor.authorSoybilgen, Barış
dc.date.accessioned2020-06-16T11:02:09Z
dc.date.available2020-06-16T11:02:09Z
dc.date.issued2018-09
dc.description.abstractIn 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.en_US
dc.fullTextLevelFull Texten_US
dc.identifier.doi10.3390/jrfm11030047en_US
dc.identifier.issn1911-8074
dc.identifier.urihttps://hdl.handle.net/11411/2232
dc.identifier.urihttps://doi.org/10.3390/jrfm11030047
dc.identifier.wosWOS:000445276600017en_US
dc.identifier.wosqualityN/Aen_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.issue3en_US
dc.language.isoenen_US
dc.nationalInternationalen_US
dc.numberofauthors2en_US
dc.publisherMDPIen_US
dc.relation.ispartofJOURNAL OF RISK AND FINANCIAL MANAGEMENTen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectunit root testingen_US
dc.subjectwaveleten_US
dc.subjectGLS detrendingen_US
dc.titleOn the Performance of Wavelet Based Unit Root Testsen_US
dc.typeArticleen_US
dc.volume11en_US

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