The two most commonly applied tests of the null hypothesis of a unit autoregres-sive root in a time series generating process are examined. Simple theoretical calculations, confirmed by simulation evidence, suggest that the probabilities of rejection of the null hy-pothesis of those tests can...

This paper looks at unobserved components models and examines the implied weighting patterns for signal extraction. There are four main themes. The first concerns the implications of correlated disturbances driving the components, especially those cases in which the correlation is perfect. The...

Economists have recognized the possibility that a time series may change structure from trend-stationarity to difference-stationarity, or vice versa. Taking difference-stationarity as the null hypothesis, we develop tests for this possibility, where neither the location nor direction of any...