Politis, Dimitris N.; Romano, Joseph P.; Wolf, Michael - In: Journal of Time Series Analysis 25 (2004) 2, pp. 251-263
We consider the problem of making inference for the autocorrelations of a time series in the possible presence of a unit root. Even when the underlying series is assumed to be strictly stationary, the robustness against a unit root is a desirable property to ensure good finite-sample coverage in...
