van Dijk, Herman K.; Koop, Koop, G. - Faculteit der Economische Wetenschappen, Erasmus … - 1999
In this paper, we 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...