Li, Yushu; Shukur, Ghazi - Centrum för arbetsmarknadspolitisk forkskning (CAFO), … - 2009
In this paper, we use the wavelet technique to improve the over-rejection problem of the traditional Dickey-Fuller test for unit root when the data suffers from GARCH (1,1) effect. The logic is based on that the wavelet spectrum decomposition can separate out information of different frequencies...