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...

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...

In the literature, there are not satisfactory methods for measuring and presenting the performance of confidence regions. In this paper, techniques for measuring effectiveness of confidence regions and for the graphical display of simulation evidence as regards the coverage and effectiveness of...

When the dimension of the vector of estimated parameters increases, simulation based methods become impractical, because the number of draws required for estimation grows exponentially with the number of parameters. In simulation methods, the lack of empirical identification when the number of...