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

Author

Listed:
  • 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.

Suggested Citation

  • Bailey, R.W. & Taylor, A.M.R., 2000. "An Optimal Test against a Random Walk Component in a Non-Orthogonal Unobserved Components Model," Discussion Papers 00-09, Department of Economics, University of Birmingham.
  • Handle: RePEc:bir:birmec:00-09
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    Cited by:

    1. Busetti, Fabio & Harvey, Andrew, 2008. "Testing For Trend," Econometric Theory, Cambridge University Press, vol. 24(01), pages 72-87, February.
    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. 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.
    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.

    More about this item

    Keywords

    TESTS ; INNOVATIONS ; MODELS;

    JEL classification:

    • 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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