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Seemingly Unrelated Time Series Equations and a Test for Homogeneity

Javier Fernandez-Macho and Andrew Harvey

Journal of Business & Economic Statistics, 1990, vol. 8, issue 1, 71-81

Abstract: A multivariate structural time series model made up of unobserved components such as trends and seasonals is formulated. A homogeneous system, in which any linear combination of the observations follows the same time series process, is shown to correspond to a multivariate structural model in which the covariance matrices of the disturbances are proportional. A homogeneous model is considerably easier to estimate than the more general model and a score test of homogeneity can be constructed in the frequency domain. The finite-sample properties of this test are evaluated in a series of Monte Carlo experiments. Finally, a test of serial correlation for use in homogeneous systems is described.

Date: 1990
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Handle: RePEc:bes:jnlbes:v:8:y:1990:i:1:p:71-81