Testing in unobserved components models

Journal of Forecasting

Volumn 20, Issue 1, 2001, Pages 1-19

  Harvey, Andrew ^a,b,c,d  

^a UNIVERSITY OF CAMBRIDGE   (United Kingdom)

^b LONDON SCHOOL OF ECONOMICS   (United Kingdom)

^c UNIVERSITY OF BRITISH COLUMBIA   (Canada)

^d UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Co integration; Cram r von Mises distribution; Kalman filter smoother; Locally best invariant test; Seasonality; Stochastic trend; Structural time series model

Indexed keywords

EID: 0002777856     PISSN: 02776693     EISSN: None     Source Type: Journal    
DOI: 10.1002/1099-131X(200101)20:1<1::AID-FOR764>3.0.CO;2-3     Document Type: Article

References (35)

1. Busetti F. 1999. Testing for (common) nonstationary components in multivariate time series with breaking trends. Mimeo, LSE.
2. Busetti F, Harvey AC. 2000. Testing for the presence of a random walk in series with structural breaks. Journal of Time Series Analysis (to appear).
3. Canova F, Hansen BE. 1995. Are seasonal components constant over time? A test for seasonal stability. Journal of Business and Economic Statistics 13: 237-252.
4. Choi I, Ahn BC. 1995. Testing for cointegration in systems of equations. Econometric Theory 11: 952-983.
5. de long P. 1988. A cross-validation filter for time series models. Biometrika 75: 594-600.
6. Gersch W, Kitagawa G. 1983. The prediction of time series with trends and seasonalities. Journal of Business and Economic Statistics 1: 253-264.
7. Harris D, Inder B. 1994. A test of the null hypothesis of co-integration. In Non-stationary Time Series Analysis and Co-integration, Hargreaves C (ed.). Oxford University Press: Oxford.
8. Harvey AC. 1989. Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge University Press: Cambridge.
9. Harvey AC. 1997. Trends, cycles and autoregressions. Economic Journal 107: 192-201.
10. Harvey AC, Ruiz E, Shephard N. 1994. Multivariate stochastic variance models. Review of Economic Studies 61: 247-264.
11. Harvey AC, Koopman SJ, Penzer J. 1998. Messy time series. Advances in Econometrics 13: 103-143.
12. Harvey AC, Streibel M. 1997. Testing for nonstationary unobserved components. Mimeo.
13. Hylleberg S, Engle R, Granger CWJ, Yoo BS. 1990. Seasonal integration and co-integration. Journal of Econometrics 44: 215-238.
14. Johansen S. 1988. Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control 12: 13-54.
15. King ML, Hillier GH. 1985. Locally best invariant tests of the error covariance matrix of the linear regression model. Journal of the Royal Statistical Society, Series B 47: 98-102.
16. King RG, Plosser CI, Stock JH, Watson MW. 1991. Stochastic trends and economic fluctuations. American Economic Review 81: 819-840.
17. Kitagawa G, Gersch W. 1996. Smoothness Priors Analysis of Time Series. Springer-Verlag: Berlin.
18. Koopman SJ, Harvey AC, Doornik JA, Shephard N. 1995. STAMP 5.0 Structural Time Series Analyser, Modeller and Predictor. Chapman and Hall: London.
19. Kwiatkowski D, Phillips PCB, Schmidt P, Shin Y. 1992. 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? Journal of Econometrics 44: 159-178.
20. Leybourne SJ, McCabe BPM. 1994. A consistent test for a unit root. Journal of Business and Economic Statistics 12: 157-166.
21. MacNeill IB. 1978. Properties of sequences of partial sums of polynomial regression residuals with applications to tests for change of regression at unknown times. The Annals of Statistics 6: 422-433.
22. Nabeya S, Tanaka K. 1988. Asymptotic theory of a test for the constancy of regression coefficients against the random walk alternative. Annals of Statistics 16: 218-235.
23. Nyblom J. 1986. Testing for deterministic linear trend in time series. Journal of the American Statistical Association 81: 545-549.
24. Nyblom J. 1989. Testing for the constancy of parameters over time. Journal of the American Statistical Association 84: 223-230.
25. Nyblom J, Harvey AC. 1998. Testing against smooth stochastic trends. Mimeo.
26. Nyblom J, Harvey AC. 2000. Tests of common stochastic trends. Econometric Theory 16 (to appear).
27. Nyblom J, Mäkeläinen T. 1983. Comparison of tests for the presence of random walk coefficients in a simple linear model. Journal of the American Statistical Association 78: 856-864.
28. Perron P. 1989. The Great Crash, the oil price shock, and the unit root hypothesis. Econometrica 57: 1361-1401.
29. Phillips PCB, Hansen BE. 1990. Statistical inference in instrumental variables regression with I(1) processes. Review of Economic Studies 57: 99-125.
30. Proietti T. 1998. Seasonal heteroscedasticity and trends. Journal of Forecasting 17: 1-17.
31. Saikkonen P. 1993. Estimation of cointegration vectors with linear restrictions. Econometric Theory 9: 19-35.
32. Saikkonen P, Luukkonen R. 1993. Testing for a moving average unit root in autoregressive integrated moving average models. Journal of the American Statistical Association 88: 596-601.
33. Shin Y. 1994. A residual based test of the null of cointegration against the alternative of no cointegration. Econometric Theory 10: 91-115.
34. Stock JH, Watson MW. Testing for common trends. Journal of the American Statistical Association 83: 1097-1107.
35. Young P. 1984. Recursive Estimation and Time Series Analysis. Springer-Verlag: Berlin.