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

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Author Info
Ibrahim Ahamada () (Centre d'Economie de la Sorbonne et Paris School of Economics)
Philippe Jolivaldt () (Centre d'Economie de la Sorbonne et Paris School of Economics)
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.

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File URL: ftp://mse.univ-paris1.fr/pub/mse/CES2008/V08032.pdf
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Publisher Info
Paper provided by Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne in its series Documents de travail du Centre d'Economie de la Sorbonne with number v08032.

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Length: 15 pages
Date of creation: Mar 2008
Date of revision:
Handle: RePEc:mse:cesdoc:v08032

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Web page: http://ces.univ-paris1.fr/
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Related research
Keywords: Unit root tests; wavelets; monte carlo experiments; size-power curve.;

Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Econometric and Statistical Methods; Specific Distributions
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions

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This page was last updated on 2009-11-23.

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