EconPapers    
Economics at your fingertips  
 

On the Performance of Wavelet Based Unit Root Tests

Burak Alparslan Eroğlu () and Barış Soybilgen ()
Additional contact information
Burak Alparslan Eroğlu: Department of Economics, Istanbul Bilgi University, Istanbul 34060, Turkey

Journal of Risk and Financial Management, 2018, vol. 11, issue 3, 1-22

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.

Keywords: unit root testing; wavelet; GLS detrending (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://www.mdpi.com/1911-8074/11/3/47/pdf (application/pdf)
https://www.mdpi.com/1911-8074/11/3/47/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jjrfmx:v:11:y:2018:i:3:p:47-:d:163515

Access Statistics for this article

Journal of Risk and Financial Management is currently edited by Prof. Dr. Michael McAleer

More articles in Journal of Risk and Financial Management from MDPI, Open Access Journal
Bibliographic data for series maintained by XML Conversion Team ().

 
Page updated 2019-09-09
Handle: RePEc:gam:jjrfmx:v:11:y:2018:i:3:p:47-:d:163515