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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.

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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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Publisher 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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Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing
C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

Cited by:
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  1. 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. [Downloadable!]
  2. 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:
  3. Fabio Busetti & Andrew Harvey, 2007. "Testing for trend," Temi di discussione (Economic working papers) 614, Bank of Italy, Economic Research Department. [Downloadable!]
    Other versions:
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This page was last updated on 2009-11-19.

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