Emirmahmutoglu, Furkan; Kose, Nezir; Yalcin, Yeliz - In: Applied Economics Letters 15 (2007) 3, pp. 193-198
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...