Publication: Unit root tests with wavelets
Unit root tests with wavelets
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Gençay, R., & Fan, Y. (2010). Unit root tests with wavelets. Econometric Theory, 26, 1305–1331. https://doi.org/10.1017/S0266466609990594
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This paper develops a wavelet (spectral) approach to testing the presence of a unit root in a stochastic process. The wavelet approach is appealing, since it is based directly on the different behavior of the spectra of a unit root process and that of a short memory stationary process. By decomposing the variance (energy) of the underlying process into the variance of its low frequency components and that of its high frequency components via the discrete wavelet transformation (DWT), we design unit root tests against near unit root al
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- Gençay, Ramazan
- Fan, Yanqin
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Gençay, R., & Fan, Y. (2010). Unit root tests with wavelets. Econometric Theory, 26, 1305–1331. https://doi.org/10.1017/S0266466609990594
