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

DOI10.1080/03610926.2010.481371zbMath1217.62134OpenAlexW1972818719MaRDI 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 testMODWT\(GARCH(1,1)\) wavelet decomposition

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Monte Carlo methods (65C05)

Cites Work

• Unnamed Item
• Unnamed Item
• Distribution theory for unit root tests with conditional heteroskedasticity
• Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
• Joint maximum likelihood estimation of unit root testing equations and GARCH processes: some finite-sample issues
• A note on unit root tests with heavy-tailed GARCH errors
• The robustness of modified unit root tests in the presence of GARCH
• A theory for multiresolution signal decomposition: the wavelet representation
• Maximum Likelihood Unit Root Testing in the Presence of GARCH: A New Test with Increased Power
• Ten Lectures on Wavelets
• A wavelet analysis for time series
• Which Exact Test is More Powerful in Testing the Hardy–Weinberg Law?