Testing in Unobserved Components Models

This file is part of IDEAS, which uses RePEc data

Testing in Unobserved Components Models

Author Info

Harvey, Andrew

Additional information is available for the following registered author(s):

Andrew C. Harvey

Abstract

This article reviews recent work on testing for the presence of non-stationary unobserved components and presents it in a unified way. Tests against random walk components and seasonal components are given and it is shown how the procedures may be extended to multivariate models and models with structural breaks. Many of the test statistics have an asymptotic distribution belonging to the class of generalized Cramervon Mises distributions. A test for the number of common trends, or equivalently, co-integrating vectors, is also described. Copyright © 2001 by John Wiley & Sons, Ltd.

Download Info
To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Publisher Info
Article provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.

Volume (Year): 20 (2001)
Issue (Month): 1 (January)
Pages: 1-19
Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Handle: RePEc:jof:jforec:v:20:y:2001:i:1:p:1-19

Contact details of provider:
Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords:

Other versions of this item:

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Tommaso PROIETTI, 2002. "Some Reflections on Trend-Cycle Decompositions with Correlated Components," Economics Working Papers ECO2002/23, European University Institute. [Downloadable!]
Other versions:
- Tommaso Proietti, 2002. "Some Reflections on Trend-Cycle Decompositions with Correlated Components," Econometrics 0209002, EconWPA. [Downloadable!]
Frits Bijleveld & Jacques Commandeur & Phillip Gould & Siem Jan Koopman, 2005. "Model-based Measurement of Latent Risk in Time Series with Applications," Tinbergen Institute Discussion Papers 05-118/4, Tinbergen Institute. [Downloadable!]
Other versions:
- Frits Bijleveld & Jacques Commandeur & Phillip Gould & Siem Jan Koopman, 2008. "Model-based measurement of latent risk in time series with applications," Journal Of The Royal Statistical Society Series A, Royal Statistical Society, vol. 171(1), pages 265-277. [Downloadable!] (restricted)
Giancarlo Bruno & Marco Malgarini, 2002. "An Indicator of Economic Sentiment for the Italian Economy," ISAE Working Papers 28, ISAE - Institute for Studies and Economic Analyses - (Rome, ITALY). [Downloadable!]
Tommaso PROIETTI & Alberto MUSSO & Thomas WESTERMANN, 2002. "Estimating Potential Output and the Output Gap for the Euro Area: a Model-Based Production Function Approach," Economics Working Papers ECO2002/09, European University Institute. [Downloadable!]
Other versions:
- Tommaso Proietti & Alberto Musso & Thomas Westermann, 2007. "Estimating potential output and the output gap for the euro area: a model-based production function approach," Empirical Economics, Springer, vol. 33(1), pages 85-113, July. [Downloadable!] (restricted)
Fabio Nieto & Eliana González, 2005. "A Note onTesting for Unit Roots in the Unobservable Trend Component of a Structural Model," Revista Colombiana de Estadística, REVISTA COLOMBIANA DE ESTADISTICA. [Downloadable!]
Fabio Busetti, 2006. "Tests of seasonal integration and cointegration in multivariate unobserved component models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 419-438. [Downloadable!]
Other versions:
- Fabio Busetti, 2004. "Tests of seasonal integration and cointegration in multivariate unobserved component models," Econometrics 0411003, EconWPA. [Downloadable!]
- Fabio Busetti, 2003. "Tests of seasonal integration and cointegration in multivariate unobserved component models," Temi di discussione (Economic working papers) 476, Bank of Italy, Economic Research Department. [Downloadable!]
Guro Børnes Ringlund, Knut Einar Rosendahl and Terje Skjerpen, 2004. "Does oilrig activity react to oil price changes? An empirical investigation," Discussion Papers 372, Research Department of Statistics Norway. [Downloadable!]
Other versions:
- Ringlund, Guro Bornes & Rosendahl, Knut Einar & Skjerpen, Terje, 2008. "Does oilrig activity react to oil price changes An empirical investigation," Energy Economics, Elsevier, vol. 30(2), pages 371-396, March. [Downloadable!] (restricted)

Statistics

Access and download statistics

Did you know? IDEAS was sponsored from 1997 to 2002 by the Université du Québec à Montréal.

This page was last updated on 2008-9-24.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.