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Unobserved components models in economics and finance

โœ Scribed by Harvey, A.; Koopman, S.


Book ID
119806695
Publisher
IEEE
Year
2009
Tongue
English
Weight
986 KB
Volume
29
Category
Article
ISSN
1066-033X

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Testing in unobserved components models
โœ Andrew Harvey ๐Ÿ“‚ Article ๐Ÿ“… 2001 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 148 KB ๐Ÿ‘ 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