Nonstationarity-extended Whittle estimation with discontinuity: A correction
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DOI: 10.1016/j.econlet.2019.108914
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Cited by:
- Abadir, Karim M. & Distaso, Walter & Giraitis, Liudas, 2024. "Partially one-sided semiparametric inference for trending persistent and antipersistent processes," Econometrics and Statistics, Elsevier, vol. 30(C), pages 1-14.
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Keywords
Fractional integration; Discontinuity; Test distortion;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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