Jentsch, C.; Kreiss, J.-P.; Mantalos, P.; Paparoditis, E. - In: Computational Statistics 27 (2012) 4, pp. 779-797
In this paper, we propose a hybrid bootstrap procedure for augmented Dickey-Fuller (ADF) tests for the presence of a unit root. This hybrid proposal combines a time domain parametric autoregressive fit to the data and a nonparametric correction applied in the frequency domain to capture features...