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Monte Carlo Test for Stochastic Trend in Space State Models for the Location-Scale Family
2021
Brazilian Review of Econometrics
Preserved Fulltext
In space state models for time series, a key point is the decision between modeling the trend of non-stationary processes through a deterministic or a stochastic term. The present paper introduces a Monte Carlo hypothesis test procedure to guide in such a decision. The method works for any time series distribution belonging to the location-scale family. The proposed method provides an alpha-level test for any time series of length greater than 3 and it does not demand assumptions on the
doi:10.12660/bre.v40n22020.81082
fatcat:5u3ktsxe5bd6zf2pcxfy36ny64