A note on testing for unit roots in the unobservable trend component of a structural model
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 inter estare latent or unobservable. In this paper, empirical distributions of...
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| Format: | Article |
| Language: | English |
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Universidad Nacional de Colombia
2005-06-01
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| Series: | Revista Colombiana de Estadística |
| Subjects: | |
| Online Access: | http://www.scielo.org.co/scielo.php?script=sci_arttext&pid=S0120-17512005000100003&lng=en&tlng=en |
| _version_ | 1818145730089451520 |
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| author | ELINA R GONZALEZ FABIO H NIETO |
| author_facet | ELINA R GONZALEZ FABIO H NIETO |
| author_sort | ELINA R GONZALEZ |
| collection | DOAJ |
| description | 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 inter estare latent or unobservable. In this paper, empirical distributions of the usual unit-root test statistics are obtained for the trend component of some particular structural models, which are based on optimal predictions (as the observed data) of the trend stochastic process. It is found that these statistical tests tend to be most powerful than the usual Dickey-Fuller tests. |
| first_indexed | 2024-12-11T12:08:06Z |
| format | Article |
| id | doaj.art-9a599f034ebf4513a85cfb1ed232cd7a |
| institution | Directory Open Access Journal |
| issn | 0120-1751 |
| language | English |
| last_indexed | 2024-12-11T12:08:06Z |
| publishDate | 2005-06-01 |
| publisher | Universidad Nacional de Colombia |
| record_format | Article |
| series | Revista Colombiana de Estadística |
| spelling | doaj.art-9a599f034ebf4513a85cfb1ed232cd7a2022-12-22T01:07:52ZengUniversidad Nacional de ColombiaRevista Colombiana de Estadística0120-17512005-06-012812338S0120-17512005000100003A note on testing for unit roots in the unobservable trend component of a structural modelELINA R GONZALEZ0FABIO H NIETO1Banco de la República de ColombiaUniversidad Nacional de ColombiaTesting 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 inter estare latent or unobservable. In this paper, empirical distributions of the usual unit-root test statistics are obtained for the trend component of some particular structural models, which are based on optimal predictions (as the observed data) of the trend stochastic process. It is found that these statistical tests tend to be most powerful than the usual Dickey-Fuller tests.http://www.scielo.org.co/scielo.php?script=sci_arttext&pid=S0120-17512005000100003&lng=en&tlng=enStructural modelsUnit rootsUnobservable processModelos estructuralesraíces unitariasprocesos no observables |
| spellingShingle | ELINA R GONZALEZ FABIO H NIETO A note on testing for unit roots in the unobservable trend component of a structural model Revista Colombiana de Estadística Structural models Unit roots Unobservable process Modelos estructurales raíces unitarias procesos no observables |
| title | A note on testing for unit roots in the unobservable trend component of a structural model |
| title_full | A note on testing for unit roots in the unobservable trend component of a structural model |
| title_fullStr | A note on testing for unit roots in the unobservable trend component of a structural model |
| title_full_unstemmed | A note on testing for unit roots in the unobservable trend component of a structural model |
| title_short | A note on testing for unit roots in the unobservable trend component of a structural model |
| title_sort | note on testing for unit roots in the unobservable trend component of a structural model |
| topic | Structural models Unit roots Unobservable process Modelos estructurales raíces unitarias procesos no observables |
| url | http://www.scielo.org.co/scielo.php?script=sci_arttext&pid=S0120-17512005000100003&lng=en&tlng=en |
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