Economics at your fingertips  

Testing in Unobserved Components Models

Andrew Harvey

Journal of Forecasting, 2001, vol. 20, issue 1, 1-19

Abstract: This article reviews recent work on testing for the presence of non-stationary unobserved components and presents it in a unified 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 Cramervon Mises distributions. A test for the number of common trends, or equivalently, co-integrating vectors, is also described. Copyright © 2001 by John Wiley & Sons, Ltd.

Date: 2001
References: Add references at CitEc
Citations: View citations in EconPapers (25) Track citations by RSS feed

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

Journal of Forecasting is currently edited by Derek W. Bunn

More articles in Journal of Forecasting from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing ().

Page updated 2019-03-31
Handle: RePEc:jof:jforec:v:20:y:2001:i:1:p:1-19