This code implements the jump beta framework developed by [Li et al., 2016]1. Specifically, it implements the estimation of the efficient jump beta, its confidence interval, and the hypothesis test for a constant jump beta.
The detailed explanation of the code is in the pdf version of the README. The code is well commented, specially the functions. Let me know if you find any mistakes.
1: Li, J., To dorov, V., and Tauchen, G. (2016). Jump regressions. Econometrica, Forthcoming