UNIT ROOT TESTS WITH WAVELETS
By Ramazan Gencay, Yanqin Fan. Econometric Theory, 2010
158 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/1ba9c8a07100a841bbc504dedabb3890da2454be
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Arshian Sharif
- D. Signori
- Syed Ali Raza
- Theodore Panagiotidis
- Thanasis Stengos
- Orestis Vravosinos
- M. Karim
- W. Wong
In Finance
- Orestis Vravosinos
- Thanasis Stengos
- Theodore Panagiotidis
- Arshian Sharif
- Syed Ali Raza
- M. Karim
- W. Wong
- D. Signori
Citations in the corpus
- Multi-scale tests for serial correlation (2015, background): “3 This approach was originally put forth by Fan and Gençay (2010) in unit root testing.”
- On the determinants of bitcoin returns: A LASSO approach (2018, methodology): “4An alternative unit root test with Haar filter at unit scale discrete wavelet decomposition against trend stationary alternatives with linear trend (Fan and Gençay, 2010) on BPI for the entire sample gives test-statistics of -6.”
- Tourism development and environmental degradation in the United States: evidence from wavelet-based analysis (2017, methodology): “We use wavelet-based unit root test by Fan and Gençay (2010), Augmented Dickey–Fuller (ADF) (Dicky & Fuller, 1979) and Phillips and Perron (PP) (Phillips & Perron, 1988) unit roots tests to judge the stationary properties of both series TD and CE.”