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Applied Economics Letters Volume 15, 2008 - Issue 3
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Original Articles

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

Furkan Emirmahmutoglu Faculty of Administrative Sciences, Department of Econometrics, Gazi University, 06500 Besevler, Ankara, Turkey
,
Nezir Kose Faculty of Administrative Sciences, Department of Econometrics, Gazi University, 06500 Besevler, Ankara, TurkeyCorrespondence[email protected]
&
Yeliz Yalcin Faculty of Administrative Sciences, Department of Econometrics, Gazi University, 06500 Besevler, Ankara, Turkey
Pages 193-198 | Published online: 26 Nov 2007

References

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  • Zivot , E and Andrews , DWK . 1992 . Further evidence on the great crash, the oil price shock and the unit-root hypothesis . Journal of Business and Economic Statistics , 10 : 251 – 70 .

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