Ahamada, Ibrahim; Jolivaldt, Philippe - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2008
Test for unit root based in wavelets theory is recently defined (Gençay and Fan, 2007). While the new test is supposed to be robust to the initial value, we bring out by contrast the significant effects of the initial value in the size and the power. We found also that both the wavelets unit...