Interest rate linkages: A Kalman filter approach to detecting structural change

Economic Modelling

Volumn 22, Issue 2 SPEC. ISS., 2005, Pages 253-284

  Barassi, Marco R ^a   Caporale, Guglielmo Maria ^b   Hall, Stephen G ^c  

^a UNIVERSITY OF BIRMINGHAM   (United Kingdom)

^b LONDON SOUTH BANK UNIVERSITY   (United Kingdom)

^c IMPERIAL COLLEGE LONDON   (United Kingdom)

Author keywords

Interest rate linkages; Kalman filter; Long run causality; Structural change; Weak exogeneity

Indexed keywords

EID: 12144251299     PISSN: 02649993     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econmod.2003.12.005     Document Type: Article

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