These Gauss codes are written for Wavelet KSS and Fourier Wavelet KSS unit root tests.
Computational Statistics & Data Analysis (2021)
Xiao Qian and Xu Hongquan
By Aydin Mucahit
Working Paper Munich Personal RePEc Archive (2019)
In the literature, there are no nonlinear wavelet-based unit root tests with structural breaks. To fill this gap in the literature, this study proposes new wavelet-based unit root tests that take into account nonlinearity and structural breaks. According to Monte Carlo simulations results, the proposed tests show better size and power properties as the sample size increases. Moreover, the results indicate that the Fourier Wavelet-based KSS (FWKSS) unit root test is more powerful than the WKSS test in the presences of structural breaks.
Aydin M. (2019) A New Nonlinear Wavelet-Based Unit Root Test with Structural Breaks. Working Paper Munich Personal RePEc Archive.