Maximum Likelihood Estimation of a Unit Root Bilinear Model with an Application to Prices

Hristova Daniela ()
Additional contact information
Hristova Daniela: City University London

Studies in Nonlinear Dynamics & Econometrics, 2005, vol. 9, issue 1, 15

Abstract: 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 applying the test suggested by Charemza et al. (forthcoming). Applying the Maximum Likelihood estimator based on the Kalman filter, the null hypothesis of no bilinearity is rejected for 39 out of 105 series at the 5% level of significance. Most of the significant unit root bilinear coefficient estimates are explosive.

Date: 2005
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://doi.org/10.2202/1558-3708.1199 (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bpj:sndecm:v:9:y:2005:i:1:n:4

Ordering information: This journal article can be ordered from
https://www.degruyte ... ournal/key/snde/html

DOI: 10.2202/1558-3708.1199

Access Statistics for this article

Studies in Nonlinear Dynamics & Econometrics is currently edited by Bruce Mizrach

More articles in Studies in Nonlinear Dynamics & Econometrics from De Gruyter
Bibliographic data for series maintained by Peter Golla ().