Wavelet Improvement of the Over-Rejection of Unit Root Test Under GARCH Errors: An Application to Swedish Immigration Data

DOI10.1080/03610926.2010.481371zbMath1217.62134MaRDI QIDQ3017851

Ghazi Shukur, Yushu Li

Publication date: 20 July 2011

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2010.481371

zbMATH Keywords

Dickey-Fuller test; MODWT; \(GARCH(1,1); \) wavelet decomposition

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

42C40: Nontrigonometric harmonic analysis involving wavelets and other special systems

65C05: Monte Carlo methods

Cites Work

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