A wavelet-based variance ratio unit root test for a system of equations

DOI10.1515/SNDE-2018-0005MaRDI QIDQ2697085zbMATH OpenOpenAlexWikidataFDO

Authors Abdul Aziz Ali, Kristofer Mansson, Ghazi Shukur

Publication date 17 April 2023

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1515/snde-2018-0005

zbMATH Keywords

system of equationsunit rootswavelets

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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• Modeling Financial Time Series with S-PLUS®
• Nonparametric tests for unit roots and cointegration.
• On estimation of the wavelet variance
• Testing for unit roots in heterogeneous panels.
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Unit root tests in panel data: asymptotic and finite-sample properties
• UNIT ROOT TESTS WITH WAVELETS

Cited in

(3)

• Wavelet variance ratio cointegration test and wavestrapping
• UNIT ROOT TESTS WITH WAVELETS
• On the performance of the variance ratio unit root tests with flexible Fourier form

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Uses Software

• wmtsa
• StFinMetrics

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