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

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  • Furkan Emirmahmutoglu
  • Nezir Kose
  • Yeliz Yalcin

Abstract

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.

Suggested Citation

  • Furkan Emirmahmutoglu & Nezir Kose & Yeliz Yalcin, 2007. "The Kalman filter method for break point estimation in unit root tests," Applied Economics Letters, Taylor & Francis Journals, vol. 15(3), pages 193-198.
    • Handle: RePEc:taf:apeclt:v:15:y:2007:i:3:p:193-198
    DOI: 10.1080/13504850600721866
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    References listed on IDEAS

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    1. Perron, Pierre & Vogelsang, Timothy J., "undated". "Level Shifts and Purchasing Power Parity," Instructional Stata datasets for econometrics levshift, Boston College Department of Economics.
    2. Zivot, Eric & Andrews, Donald W K, 2002. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 25-44, January.
    3. Harvey,Andrew C., 1991. "Forecasting, Structural Time Series Models and the Kalman Filter," Cambridge Books, Cambridge University Press, number 9780521405737.
    4. Perron, Pierre & Vogelsang, Timothy J, 1992. "Nonstationarity and Level Shifts with an Application to Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 301-320, July.
    5. Junsoo Lee & Mark C. Strazicich, 2001. "Break Point Estimation and Spurious Rejections With Endogenous Unit Root Tests," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 63(5), pages 535-558, December.
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    8. Lee, Junsoo & Strazicich, Mark C, 2001. "Break Point Estimation and Spurious Rejections with Endogenous Unit Root Tests," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 63(5), pages 535-558, December.
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    10. J Huston McCulloch, 2000. "State-Space Times Series Modeling of Structural Breaks," Working Papers 00-11, Ohio State University, Department of Economics.
    11. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
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    1. Yochanan Shachmurove & Reuel Shinnar (Deceased), 2012. "Do Chemical Reactors Hold the Solution for Global Economic Crises?," PIER Working Paper Archive 12-010, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.

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