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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

Suggested Citation

  • Ibrahim Ahamada & Philippe Jolivaldt, 2008. "Wavelets unit root test vs DF test: A further investigation based on monte carlo experiments," Documents de travail du Centre d'Economie de la Sorbonne v08032, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    • Handle: RePEc:mse:cesdoc:v08032
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    Keywords

    Unit root tests; wavelets; monte carlo experiments; size-power curve;
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    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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