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An Optimal Test against a Random Walk Component in a Non-Orthogonal Unobserved Components Model

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Author Info

  • Bailey, R.W.
  • Taylor, A.M.R.

Abstract

In this paper we consider the problem of testing the null hypothesis that a series has a constant level against the alternative that the level follows a random walk. This problem has previously been studied by inter alia, Nyblom and Makelainen in the context of the orthogonal random walk plus noise model.

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Bibliographic Info

Paper provided by Department of Economics, University of Birmingham in its series Discussion Papers with number 00-09.

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Length: 12 pages
Date of creation: 2000
Date of revision:
Handle: RePEc:bir:birmec:00-09

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Postal: Edgbaston, Birmingham, B15 2TT
Web page: http://www.economics.bham.ac.uk
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Related research

Keywords: TESTS ; INNOVATIONS ; MODELS;

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Cited by:
  1. James Morley & Irina B. Panovska & Tara M. Sinclair, 2013. "Testing Stationarity for Unobserved Components Models," Discussion Papers 2012-41A, School of Economics, The University of New South Wales.
  2. 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.
  3. Fabio Busetti & Andrew Harvey, 2007. "Testing for trend," Temi di discussione (Economic working papers) 614, Bank of Italy, Economic Research and International Relations Area.
  4. James Morley & Tara M. Sinclair, 2005. "Testing for Stationarity and Cointegration in an Unobserved Components Framework," Computing in Economics and Finance 2005 451, Society for Computational Economics.

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