Readings in Unobserved Components Models

94 citations recorded by the source corpus.

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Variance Shifts, Structural Breaks, and Stationarity Tests (2003, unknown): “[12]”
Trend–Cycle Decompositions with Correlated Components (2006, background): “Discriminating among UC models unconditionally, ie, without assuming a particular reduced form, is a far more complex issue, since, despite the recent advances in testing and model specification in the unobserved components framework (see Harvey, 2001 ), it is impossible to get analytic results, du”
Tests of stationarity against a change in persistence (2004, methodology): “We demonstrate by a series of simulation experiments that, for a given direction of change, the LBI-based approach can deliver considerably more powerful tests than both the subsample stationarity tests and the ratio-based tests of Kim et al. (2002) and Busetti and Taylor (2001).”