An Optimal Test against a Random Walk Component in a Non-Orthogonal Unobserved Components Model
AbstractIn 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 InfoPaper provided by Department of Economics, University of Birmingham in its series Discussion Papers with number 00-09.
Length: 12 pages
Date of creation: 2000
Date of revision:
TESTS ; INNOVATIONS ; MODELS;
Other versions of this item:
- Ralph W. Bailey & A. M. Robert Taylor, 2002. "An optimal test against a random walk component in a non-orthogonal unobserved components model," Econometrics Journal, Royal Economic Society, vol. 5(2), pages 520-532, 06.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
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- 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.
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