On the Performance of Wavelet Based Unit Root Tests
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. View Full-Text
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Eroğlu, B.A.; Soybilgen, B. On the Performance of Wavelet Based Unit Root Tests. J. Risk Financial Manag. 2018, 11, 47.
Eroğlu BA, Soybilgen B. On the Performance of Wavelet Based Unit Root Tests. Journal of Risk and Financial Management. 2018; 11(3):47.Chicago/Turabian Style
Eroğlu, Burak A.; Soybilgen, Barış. 2018. "On the Performance of Wavelet Based Unit Root Tests." J. Risk Financial Manag. 11, no. 3: 47.
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