UNIT ROOT TESTS WITH WAVELETS
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Cites work
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- A theory for multiresolution signal decomposition: the wavelet representation
- A wavelet solution to the spurious regression of fractionally differenced processes
- ALTERNATIVE ESTIMATORS AND UNIT ROOT TESTS FOR THE AUTOREGRESSIVE PROCESS
- AN ANALYSIS OF U.S. STOCK PRICE BEHAVIOR USING WAVELETS
- Analysis of Subtidal Coastal Sea Level Fluctuations Using Wavelets
- Asymptotic inference for nearly nonstationary AR(1) processes
- Asymptotic Properties of Residual Based Tests for Cointegration
- Asymptotics for linear processes
- Efficient Tests for an Autoregressive Unit Root
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- scientific article; zbMATH DE number 1470722 (Why is no real title available?)
- scientific article; zbMATH DE number 777596 (Why is no real title available?)
- Inference in Linear Time Series Models with some Unit Roots
- LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
- On estimation of the wavelet variance
- ON TESTING FOR SERIAL CORRELATION WITH A WAVELET-BASED SPECTRAL DENSITY ESTIMATOR IN MULTIVARIATE TIME SERIES
- ON THE ALTERNATIVE LONG-RUN VARIANCE RATIO TEST FOR A UNIT ROOT
- On the approximate decorrelation property of the discrete wavelet transform for fractionally differenced processes
- On the Theory of Testing for Unit Roots in Observed Time Series
- Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
- Ten Lectures on Wavelets
- Testing for a unit root by frequency domain regression
- Testing for a unit root in time series regression
- Testing for multivariate autoregressive conditional heteroskedasticity using wavelets
- Testing for serial correlation of unknown form using wavelet methods
- Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk
- The contribution of wavelets to the analysis of economic and financial data
- The functional central limit theorem for a family of GARCH observations with applications
- Time Series Regression with a Unit Root
- Towards a unified asymptotic theory for autoregression
- Understanding spurious regressions in econometrics
- Wavelet analysis of commodity price behavior
- Wavelet-Based Testing for Serial Correlation of Unknown Form in Panel Models
Cited in
(27)- On wavelet-based testing for serial correlation of unknown form using Fan's adaptive Neyman method
- On the cyclicity of regional house prices: new evidence for U.S. metropolitan statistical areas
- Spectral approach to parameter-free unit root testing
- Portmanteau-type tests for unit-root and cointegration
- Portmanteau-type test for unit root with heavy-tailed noise
- An energy-based measure for long-run horizon risk quantification
- Wavelet variance ratio cointegration test and wavestrapping
- Improving model performance with the integrated wavelet denoising method
- Business cycle (de)synchronization in the aftermath of the global financial crisis: implications for the euro area
- Money supply and inflation dynamics in the Asia-Pacific economies: a time-frequency approach
- Estimation of long memory in volatility using wavelets
- Time-varying persistence of inflation: evidence from a wavelet-based approach
- Are stock returns an inflation hedge for the UK? Evidence from a wavelet analysis using over three centuries of data
- A wavelet-based variance ratio unit root test for a system of equations
- Recovering cointegration via wavelets in the presence of non-linear patterns
- Wavelet improvement of the over-rejection of unit root test under GARCH errors: an application to Swedish immigration data
- On various applications of wavelet analysis to statistics
- Statistical tests of distributional scaling properties for financial return series
- Multi-scale tests for serial correlation
- scientific article; zbMATH DE number 1911753 (Why is no real title available?)
- On diagnostic checking autoregressive conditional duration models with wavelet-based spectral density estimators
- Volatility forecasting of financial time series using wavelet based exponential generalized autoregressive conditional heteroscedasticity model
- Errors-in-variables estimation with wavelets
- Testing for Unit Root Against LSTAR Model: Wavelet Improvement Under GARCH Distortion
- Wavelet energy ratio unit root tests
- The adaptive Fourier decomposition for financial time series
- Pairs trading with wavelet transform
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