A note on testing for unit roots in the unobservable trend component of a structural model

A note on testing for unit roots in the unobservable trend component of a structural model

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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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Bibliographic Details
Main Authors: ELINA R GONZALEZ, FABIO H NIETO
Format: Article
Language:English
Published: Universidad Nacional de Colombia 2005-03-01
Series:Revista Colombiana de Estadística
Subjects:
Structural models
Unit roots
Unobservable process
Modelos estructurales
raíces unitarias
procesos no observables
Online Access:http://www.scielo.org.co/scielo.php?script=sci_arttext&pid=S0120-17512005000100003

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