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Additional critical values and asymptotic representations for seasonal unit root tests

Smith, Richard J.; Taylor, Robert - 1995

Persistent link: https://www.econbiz.de/10000561591

Unit roots, change, and decision bounds

Kunst, Robert M. - 1998

Persistent link: https://www.econbiz.de/10000673736

Modeling and forecasting of Brazilian reservoir inflows via dynamic linear models

Lima, L. M. Marangon; Popova, Elmira; Damien, Paul - In: International journal of forecasting 30 (2014) 3, pp. 464-476

Persistent link: https://www.econbiz.de/10010511556

Testing for integration using evolving trend and seasonals models : a Bayesian approach

Koop, Gary; Dijk, Herman K. van - 1999

In this paper, we make use of state space models toinvestigate the presence of stochastic trends in economic time series. Amodel is specified where such a trend can enter either in the autoregressiverepresentation or in a separate state equation. Tests based on the formerare analogous to...

Persistent link: https://www.econbiz.de/10011302135

Unit roots, change, and decision bounds

Kunst, Robert M. - 1998

condenser statistics zeta1 and zeta2. zeta1 is the traditional Dickey-Fuller t-test statistic that allows for a linear trend …

Persistent link: https://www.econbiz.de/10009711656

Testing for integration using evolving trend and seasonals models : a Bayesian approach

Koop, Gary; Dijk, Herman K. van; Hoek, Henk - 1997

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...

Persistent link: https://www.econbiz.de/10010338455