Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem
David Harris, Hsein Kew, A. M. Robert Taylor
| Year of publication: |
2020
|
|---|---|
| Authors: | Harris, David ; Kew, Hsein ; Taylor, Robert |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 219.2020, 2, p. 354-388
|
| Subject: | Adaptive estimation | Feasible weighted estimator | Information criteria | Level break fraction | Non-stationary volatility | Unit root tests and trend breaks | Schätztheorie | Estimation theory | Einheitswurzeltest | Unit root test | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Strukturbruch | Structural break | Schätzung | Estimation | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2020.03.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012483394