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Unobserved-Components Models for Seasonal Adjustment Filters

✍ Scribed by Peter Burridge and Kenneth F. Wallis

Book ID
124697009
Publisher
American Statistical Association
Year
1984
Tongue
English
Weight
410 KB
Volume
2
Category
Article
ISSN
0735-0015

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## 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