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Seasonality and Markov switching in an unobserved component time series model

โœ Scribed by Rob Luginbuhl; Aart de Vos

Book ID
105856099
Publisher
Springer-Verlag
Year
2003
Tongue
English
Weight
753 KB
Volume
28
Category
Article
ISSN
0377-7332

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Tests of seasonal integration and cointe
Tests of seasonal integration and cointegration in multivariate unobserved component models
โœ Fabio Busetti ๐Ÿ“‚ Article ๐Ÿ“… 2006 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 206 KB

## Abstract This paper considers tests of seasonal integration and cointegration for multivariate unobserved component models. First, the locally best invariant (LBI) test of the null hypothesis of a deterministic seasonal pattern against the alternative of seasonal integration is derived for a mod