haku: @indexterm UNIT ROOTS / yhteensä: 32
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Tekijä: | Koop, G. Dijk, H. van |
Otsikko: | Testing for integration using evolving trend and seasonal models: a Bayesian approach |
Lehti: | Journal of Econometrics
2000 : AUG, VOL. 97:2, p. 261-292 |
Asiasana: | BAYESIAN STATISTICS UNIT ROOTS MARKOV CHAINS |
Kieli: | eng |
Tiivistelmä: | In this paper, the authors make use of state space models to investigate the presence of stochastic trends in economic time series. A model is specified where such a trend can enter either in the autoregressive representation or in a separate state equation. Tests based on the former are analogous to Dickey-Fuller tests of unit roots, while the latter are analogous to KPSS tests of trend stationarity. |
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