An Optimal Test against a Random Walk Component in a Non-Orthogonal Unobserved Components Model.

In this paper we consider the problem of testing the null hypothesis that a series has a constant level against the alternative that the level follows a random walk. This problem has previously been studied by inter alia, Nyblom and Makelainen in the context of the orthogonal random walk plus noise model.

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Year of publication:	2000
Authors:	Bailey, R.W. ; Taylor, A.M.R.
Institutions:	Department of Economics, University of Birmingham
Subject:	TESTS \| INNOVATIONS \| MODELS

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Series:	Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	12 pages
Classification:	C12 - Hypothesis Testing ; C52 - Model Evaluation and Testing ; C2 - Econometric Methods: Single Equation Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005086690