A wavelet-based variance ratio unit root test for a system of equations

DOI10.1515/snde-2018-0005OpenAlexW2988731989WikidataQ126764686 ScholiaQ126764686MaRDI QIDQ2697085

Ghazi Shukur, Kristofer Månsson, Abdul Aziz Ali

Publication date: 17 April 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2018-0005

zbMATH Keywords

waveletsunit rootssystem of equations

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Uses Software

• wmtsa
• StFinMetrics

Cites Work

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• On estimation of the wavelet variance
• UNIT ROOT TESTS WITH WAVELETS