Jentsch, C.; Kreiss, J.-P.; Mantalos, P.; Paparoditis, E. - In: Computational Statistics 27 (2012) 4, pp. 779-797
parameter using critical values of the asymptotic Dickey-Fuller distribution. The benefit of the sieve bootstrap in this … investigated through Monte Carlo simulations and compared to the sieve bootstrap approach. Regarding the size of the tests, our … results show that the hybrid bootstrap remarkably outperforms the sieve bootstrap. Copyright Springer-Verlag 2012 …