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

Test for unit root based in wavelets theory is recently defined (Genay 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.

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Year of publication:	2008-03
Authors:	Ahamada, Ibrahim ; Jolivaldt, Philippe
Institutions:	HAL

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Extent:	application/pdf
Series:	Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
Type of publication:	Book / Working Paper
Language:	English
Notes:	View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00275767
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10008795190