UNIT ROOT TESTS WITH WAVELETS

DOI10.1017/S0266466609990594zbMATH Open1197.62127OpenAlexW3125293843MaRDI QIDQ4933581FDOQ4933581

Authors: Yanqin Fan, Ramazan Gençay 

Publication date: 14 October 2010

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466609990594

Recommendations

• Wavelet energy ratio unit root tests
• A wavelet-based variance ratio unit root test for a system of equations
• Alternative unit root testing strategies using the Fourier approximation
• A wavelet-based test for stationarity
• Testing for a unit root by frequency domain regression
• Wavelet variance ratio cointegration test and wavestrapping
• Testing for Unit Root Against LSTAR Model: Wavelet Improvement Under GARCH Distortion

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Testing for multivariate autoregressive conditional heteroskedasticity using wavelets
• Asymptotics for linear processes
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• A theory for multiresolution signal decomposition: the wavelet representation
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Ten Lectures on Wavelets
• Analysis of Subtidal Coastal Sea Level Fluctuations Using Wavelets
• On estimation of the wavelet variance
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Asymptotic inference for nearly nonstationary AR(1) processes
• Asymptotic Properties of Residual Based Tests for Cointegration
• Testing for a unit root in time series regression
• Towards a unified asymptotic theory for autoregression
• Time Series Regression with a Unit Root
• Inference in Linear Time Series Models with some Unit Roots
• Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk
• On the approximate decorrelation property of the discrete wavelet transform for fractionally differenced processes
• Efficient Tests for an Autoregressive Unit Root
• Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
• Understanding spurious regressions in econometrics
• On the Theory of Testing for Unit Roots in Observed Time Series
• ALTERNATIVE ESTIMATORS AND UNIT ROOT TESTS FOR THE AUTOREGRESSIVE PROCESS
• Wavelet-Based Testing for Serial Correlation of Unknown Form in Panel Models
• The functional central limit theorem for a family of GARCH observations with applications
• Testing for serial correlation of unknown form using wavelet methods
• ON TESTING FOR SERIAL CORRELATION WITH A WAVELET-BASED SPECTRAL DENSITY ESTIMATOR IN MULTIVARIATE TIME SERIES
• Wavelet analysis of commodity price behavior
• AN ANALYSIS OF U.S. STOCK PRICE BEHAVIOR USING WAVELETS
• The contribution of wavelets to the analysis of economic and financial data
• Testing for a unit root by frequency domain regression
• ON THE ALTERNATIVE LONG-RUN VARIANCE RATIO TEST FOR A UNIT ROOT
• A wavelet solution to the spurious regression of fractionally differenced processes

Cited In (27)

• Volatility forecasting of financial time series using wavelet based exponential generalized autoregressive conditional heteroscedasticity model
• On wavelet-based testing for serial correlation of unknown form using Fan's adaptive Neyman method
• Wavelet variance ratio cointegration test and wavestrapping
• On diagnostic checking autoregressive conditional duration models with wavelet-based spectral density estimators
• Recovering cointegration via wavelets in the presence of non-linear patterns
• Testing for Unit Root Against LSTAR Model: Wavelet Improvement Under GARCH Distortion
• Title not available (Why is that?)
• Pairs trading with wavelet transform
• Improving model performance with the integrated wavelet denoising method
• Statistical tests of distributional scaling properties for financial return series
• Time-varying persistence of inflation: evidence from a wavelet-based approach
• Wavelet energy ratio unit root tests
• On the cyclicity of regional house prices: new evidence for U.S. metropolitan statistical areas
• An energy-based measure for long-run horizon risk quantification
• Spectral approach to parameter-free unit root testing
• Wavelet improvement of the over-rejection of unit root test under GARCH errors: an application to Swedish immigration data
• Money supply and inflation dynamics in the Asia-Pacific economies: a time-frequency approach
• Portmanteau-type tests for unit-root and cointegration
• On various applications of wavelet analysis to statistics
• Portmanteau-type test for unit root with heavy-tailed noise
• Estimation of long memory in volatility using wavelets
• Business cycle (de)synchronization in the aftermath of the global financial crisis: implications for the euro area
• Errors-in-variables estimation with wavelets
• Are stock returns an inflation hedge for the UK? Evidence from a wavelet analysis using over three centuries of data
• Multi-scale tests for serial correlation
• A wavelet-based variance ratio unit root test for a system of equations
• The adaptive Fourier decomposition for financial time series

This page was built for publication: UNIT ROOT TESTS WITH WAVELETS

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4933581)