Testing in unobserved components models

• 1 January 2001
• journal article
• research article
• Published by Wiley in Journal of Forecasting
• Vol. 20  (1) , 1-19
• https://doi.org/10.1002/1099-131x(200101)20:1<1::aid-for764>3.0.co;2-3

Abstract

Keywords

• CRAMÉR–VON MISES DISTRIBUTION
• CO‐INTEGRATION
• KALMAN FILTER SMOOTHER
• LOCALLY BEST INVARIANT TEST
• SEASONALITY
• STOCHASTIC TREND
• STRUCTURAL TIME SERIES MODEL