Wavelets unit root test vs DF test: A further investigation based on monte carlo experiments

Ibrahim Ahamada and Philippe Jolivaldt ()
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Philippe Jolivaldt: Centre d'Economie de la Sorbonne et Paris School of Economics, https://centredeconomiesorbonne.univ-paris1.fr

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

Abstract: Test for unit root based in wavelets theory is recently defined (Gençay and Fan, 2007). While the new test is supposed to be robust to the initial value, we bring out by contrast the significant effects of the initial value in the size and the power. We found also that both the wavelets unit root test and ADF test give the same efficiency if the data are corrected of the initial value. Our approach is based in monte carlo experiment

Keywords: Unit root tests; wavelets; monte carlo experiments; size-power curve (search for similar items in EconPapers)
JEL-codes: C12 C15 C16 C22 (search for similar items in EconPapers)
Pages: 15 pages
Date: 2008-03
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
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ftp://mse.univ-paris1.fr/pub/mse/CES2008/V08032.pdf (application/pdf)

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Working Paper: Wavelets unit root test vs DF test: A further investigation based on monte carlo experiments (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:v08032

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