Estimators for Persistent and Possibly Non-Stationary Data with Classical Properties
NBER Working Paper No. 17424
---- Acknowledgements -----
Mikusheva acknowledges financial support from the Castle-Krob Career Development Chair. Ng acknowledges financial support from the National Science Foundation (SES-0962431). The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.