Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem
Harris, David, Kew, Hsein, Taylor, A.M. RobertJournal:
Journal of Econometrics
DOI:
10.1016/j.jeconom.2020.03.008
Date:
March, 2020
File:
PDF, 2.38 MB
2020