A New Nonlinear Wavelet-Based Unit Root Test with Structural Breaks

By Aydin Mucahit
Working Paper Munich Personal RePEc Archive (2019)

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Abstract

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.

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Please cite the paper as follows:

Aydin M. (2019) A New Nonlinear Wavelet-Based Unit Root Test with Structural Breaks. Working Paper Munich Personal RePEc Archive.

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