Hristova, Daniela - In: Studies in Nonlinear Dynamics & Econometrics 9 (2007) 1, pp. 1199-1199
We estimate a unit root bilinear process using the Maximum Likelihood method with log-likelihood function constructed by means of the Kalman filter, and evaluate the finite sample properties of this estimator.One hundred and five world-wide price series are tested for unit root bilinearity...