A NOTE ON TESTING FOR UNIT ROOTS IN THE UNOBSERVABLE TREND COMPONENT OF A STRUCTURAL MODEL UNA NOTA ACERCA DE LA PRUEBA DE RAICES UNITARIAS EN LA COMPONENTE DE TENDENCIA NO OBSERVABLE DE UN MODELO ESTRUCTURAL

A NOTE ON TESTING FOR UNIT ROOTS IN THE UNOBSERVABLE TREND COMPONENT OF A STRUCTURAL MODEL UNA NOTA ACERCA DE LA PRUEBA DE RAICES UNITARIAS EN LA COMPONENTE DE TENDENCIA NO OBSERVABLE DE UN MODELO ESTRUCTURAL

Testing for unit roots is a common practice in observable stochastic processes and there is abundant literature on this topic. However, sometimes, one is faced with the same problem but in the case where the processes of interest are latent or unobservable. In this paper, empirical distributions of...

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Bibliographic Details
Main Authors: González Eliana R., Nieto Fabio H.
Format: Article
Language:English
Published: Universidad Nacional de Colombia 2005-05-01
Series:Revista Colombiana de Estadística
Subjects:
Structural models
Unit roots
Unobservable process
Online Access:http://www.revistas.unal.edu.co/index.php/estad/article/view/29991

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