Wavelet energy ratio unit root tests
提出一种基于小波能量比的频域非参数单位根检验方法，无需调参，对序列相关和异常值稳健，并引入新算法消除尺寸扭曲。
This article uses wavelet theory to propose a frequency domain nonparametric and tuning parameter-free family of unit root tests. The proposed test exploits the wavelet power spectrum of the observed series and its fractional partial sum to construct a test of the unit root based on the ratio of the resulting scaling energies. The proposed statistic enjoys good power properties and is robust to severe size distortions even in the presence of serially correlated MA(1) errors with a highly negative moving average (MA) parameter, as well as in the presence of random additive outliers. Any remaining size distortions are effectively eliminated using a novel wavestrapping algorithm.