An optimal test against a random walk component in a non‐orthogonal unobserved components model

DOI10.1111/1368-423X.t01-1-00096zbMath1018.62061OpenAlexW2036096331MaRDI QIDQ4416026

A. M. Robert Taylor, Ralph W. Bailey

Publication date: 7 August 2003

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1368-423x.t01-1-00096

zbMATH Keywords

time seriesBrownian motionlocally best invariant testnon-orthogonal components

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: hypothesis testing (62M02)

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Cites Work

• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Testing for the Presence of a Random Walk in Series with Structural Breaks
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