Level shift estimation in the presence of non-stationary...

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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. Robert
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Journal:
Journal of Econometrics
DOI:
10.1016/j.jeconom.2020.03.008
Date:
March, 2020
File:
PDF, 2.38 MB
2020
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