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- Publisher
- Springer Journals
- Copyright
- Copyright © The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature 2023. Springer Nature or its licensor (e.g. a society or other partner) holds exclusive rights to this article under a publishing agreement with the author(s) or other rightsholder(s); author self-archiving of the accepted manuscript version of this article is solely governed by the terms of such publishing agreement and applicable law.
- ISSN
- 0927-7099
- eISSN
- 1572-9974
- DOI
- 10.1007/s10614-023-10458-4
- Publisher site
- See Article on Publisher Site
Abstract
Inferences from tests for non-stationarity depend critically on whether and how breaks and/or non-linearities are specified. Recent work has shown that wavelet transformations that separate a variable’s high and low frequency components can enhance the performance of unit root and stationarity tests. This note provides response surface estimates of finite sample, lag-adjusted critical values and approximate probability values for an Augmented Dickey–Fuller type wavelet test that includes a Fourier term allowing for smooth breaks in the series. Applications highlight the practical benefits.
Journal
Computational Economics – Springer Journals
Published: Aug 1, 2024
Keywords: Integrated processes; Akaike information criterion; Bayesian information criterion; Wavelet; Unit root test; C12; C15; C22