Johansen, Soren; Tabor, Morten - 2017
In a linear state space model Y(t)=BT(t) e(t), we investigate if the unobserved trend, T(t), cointegrates with the predicted trend, E(t), and with the estimated predicted trend, in the sense that the spreads are stationary. We find that this result holds for the spread B(T(t)-E(t)) and the...