Testing in unobserved components models
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Andrew Harvey
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Article
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2001
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John Wiley and Sons
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English
โ 148 KB
๐ 1 views
This article reviews recent work on testing for the presence of non!stationary unobserved components and presents it in a uni\_ed way[ Tests against random walk components and seasonal components are given and it is shown how the procedures may be extended to multivariate models and models with stru