Level Shift Estimation in the Presence of Non-stationary Volatility with an Application to the Unit Root Testing Problem
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KeywordsLevel break fraction; non-stationary volatility; adaptive estimation; feasible weighted estimator; information criteria; unit root tests and trend breaks.;
All these keywords.
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2017-09-10 (Econometrics)
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