Cavaliere, Giuseppe; Harvey, David I.; Leybourne, Stephen J. - In: Econometric Theory 27 (2011) 05, pp. 957-991
We analyze the impact of nonstationary volatility on the break fraction estimator and associated trend break unit root tests of Harris, Harvey, Leybourne, and Taylor (2009) (HHLT). We show that although HHLT’s break fraction estimator retains the same large-sample properties as demonstrated by...