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Wavelets unit root test vs DF test : A further investigation based on monte carlo experiments

Ibrahim Ahamada 1, 2, Philippe Jolivaldt 1, 2

(2008-03)

Test for unit root based in wavelets theory is recently defined (Genay and Fan, 2007). While the new test is supposed to be robust to the initial value, we bring out by contrast the significant effects of the initial value in the size and the power. We found also that both the wavelets unit root test and ADF test give the same efficiency if the data are corrected of the initial value. Our approach is based in monte carlo experiment.

1:	Centre d'économie de la Sorbonne (CES)
	CNRS : UMR8174 – Université Paris I - Panthéon-Sorbonne
2:	Ecole d'Économie de Paris - Paris School of Economics (EEP-PSE)
	Ecole d'Économie de Paris

Subject

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Humanities and Social Sciences/Economy and finances Humanities and Social Sciences/Methods and statistics

Keyword(s): Unit root tests – wavelets – monte carlo experiments – size-power curve.

halshs-00275767, version 1

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From: Lucie Label <>

Submitted on: Friday, 25 April 2008 10:56:08

Updated on: Friday, 25 April 2008 11:09:50