A New Nonlinear Wavelet-Based Unit Root Test with Structural Breaks

Mücahit Aydın

MPRA Paper from University Library of Munich, Germany

Abstract: In the literature, there are no nonlinear wavelet-based unit root tests with structural breaks. To fill this gap in the literature, this study proposes new wavelet-based unit root tests that take into account nonlinearity and structural breaks. According to Monte Carlo simulations results, the proposed tests show better size and power properties as the sample size increases. Moreover, the results indicate that the Fourier Wavelet-based KSS (FWKSS) unit root test is more powerful than the WKSS test in the presences of structural breaks.

Keywords: Unit Root Test; Nonlinearity; Wavelet; Fourier Function. (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Date: 2019-12
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:98693

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