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

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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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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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Keywords: Unit root tests; wavelets; monte carlo experiments; size-power curve.;

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