Hi,

I was wondering if anyone can help me coding the empirical example given in the following paper:

Harris, D., Kew, H., & Taylor, A. R. (2020). Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem. Journal of Econometrics, 219: 354-388.

I have attached the US data they use for their estimation. In particular, I am having some trouble estimating equation 3.8 in the paper; and table 5 and 6.

Any help would be most appreciated!