The object of this paper is to produce non-parametric maximum likelihood estimates of forecast distributions in a general non-Gaussian, non-linear state space setting. The transition densities that define the evolution of the dynamic state process are represented in parametric form, but the...

This note suggests a simple modification to the Kwiatkowski et al. (1994, KPSS) test so that it is applicable to testing the null hypothesis of near integration against a unit root alternative. The modified KPSS test is shown not to suffer from the asymptotic size distortion problems of the...