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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Main Authors: ELINA R GONZALEZ, FABIO H NIETO
Format: Article
Language:English
Published: Universidad Nacional de Colombia 2005-06-01
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&lng=en&tlng=en
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spelling doaj-9a599f034ebf4513a85cfb1ed232cd7a2020-11-25T02:36:04ZengUniversidad Nacional de Colombia Revista 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
collection DOAJ
language English
format Article
sources DOAJ
author ELINA R GONZALEZ
FABIO H NIETO
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
author_facet ELINA R GONZALEZ
FABIO H NIETO
author_sort ELINA R GONZALEZ
title 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_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_sort note on testing for unit roots in the unobservable trend component of a structural model
publisher Universidad Nacional de Colombia
series Revista Colombiana de Estadística
issn 0120-1751
publishDate 2005-06-01
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.
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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