An Optimal Test against a Random Walk Component in a Non-Orthogonal Unobserved Components Model
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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, June.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Busetti, Fabio & Harvey, Andrew, 2008. "Testing For Trend," Econometric Theory, Cambridge University Press, vol. 24(01), pages 72-87, February.
- Ringlund, Guro Bornes & Rosendahl, Knut Einar & Skjerpen, Terje, 2008.
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- James Morley & Irina B. Panovska & Tara M. Sinclair, 2013.
"Testing Stationarity for Unobserved Components Models,"
2012-41A, School of Economics, The University of New South Wales.
- James Morley & Irina B. Panovska & Tara M. Sinclair, 2014. "Testing Stationarity for Unobserved Components Models," Discussion Papers 2012-41B, School of Economics, The University of New South Wales.
- 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
KeywordsTESTS ; INNOVATIONS ; MODELS;
- 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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