The RATS Software Forum

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!

3.8 (in fact, the whole analysis) is very similar to the NPREG.RPF example, except that it uses time as the explanatory variable in the non-parametric fit on the squared residuals.

Thanks Tom.
I am finding the estimation difficult and was hoping if you/someone could help in the calculation of the series 'sigma(t)' in 3.8. Not sure how to carry out the kernel smoothing. Any pointers would be much appreciated!
Table 5 is the variance profile calculation due to Cavaliere and Taylor (2008) which is to determine whether there is non-stationary unconditional volatility; separate estimation altogether.
Many thanks in advance!

This does an example of the calculation of the WLS estimator for a single example. The calculation of the time-varying variance is the same regardless of the regression---the bandwidth depends only upon the number of data points.

Thanks Tom! Much appreciated.