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Testing in unobserved components models

✍ Scribed by Andrew Harvey

Publisher
John Wiley and Sons
Year
2001
Tongue
English
Weight
148 KB
Volume
20
Category
Article
ISSN
0277-6693

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✦ Synopsis

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 structural breaks[ Many of the test statistics have an asymptotic distribution belonging to the class of generalized Crame rÐvon Mises dis! tributions[ A test for the number of common trends\ or equivalently\ co! integrating vectors\ is also described[ Copyright Þ 1990 John Wiley + Sons\ Ltd[ KEY WORDS Crame rÐvon Mises distribution^co!integration^Kalman _lter smoother^locally best invariant test^seasonality^stochastic trend^structural time series model Correspondence to]

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