An Optimal Test against a Random Walk Component in a Non-Orthogonal Unobserved Components Model
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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|Date of creation:||2000|
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