Fan, Yanqin; Gençay, Ramazan - In: Econometric Theory 26 (2010) 05, pp. 1305-1331
This paper develops a wavelet (spectral) approach to testing the presence of a unit root in a stochastic process. The wavelet approach is appealing, since it is based directly on the different behavior of the spectra of a unit root process and that of a short memory stationary process. By...