The Kalman filter method for break point estimation in unit root tests

In this study, in addition to Zivot-Andrews (1992), Perron (1997) and Schwarz Bayesian Criteria (SBC) approaches of the true break point estimation performances of the Kalman filter method is examined using Monte Carlo simulation experiments. Our simulation results show that the SBC and Kalman filter methods both exhibit a good performance in estimating true break point.

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Year of publication:	2007
Authors:	Emirmahmutoglu, Furkan ; Kose, Nezir ; Yalcin, Yeliz
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 15.2007, 3, p. 193-198
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009277429