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Testing in unobserved components models
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DOI：10.1002/1099-131X(200101)20:1<1::AID-FOR764>3.0.CO;2-3.png)
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Abstract
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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 Cramer-von Mises distributions. A test for the number of common trends, or equivalently, cointegrating vectors, is also described. Copyright (C) 2001 John Wiley & Sons, Ltd.
Keywords:
Cramer-von Mises distribution
co-integration
Kalman filter smoother
locally best invariant test
seasonality
stochastic trend
structural time series model
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