Testing for the presence of a random walk in series with structural breaks (Q2740101)
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scientific article; zbMATH DE number 1646502
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| English | Testing for the presence of a random walk in series with structural breaks |
scientific article; zbMATH DE number 1646502 |
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16 September 2001
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Brownian bridge
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Cramer-von Mises distribution
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intervention analysis
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locally best invariant tests
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structural time series models
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unobserved components
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Testing for the presence of a random walk in series with structural breaks (English)
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In sections 1 and 2 of this article tests for the presence of a random walk component in stationary and trend stationary time series are proposed. In section 3 the tests are derived when structural breaks are present. The asymptotic distributions and modified test statistics are given. A case with a single break at an unknown point is considered in detail. Problems of serial correlation are discussed. Some simulations, comparisons and applications are considered. Problems connected with applications under seasonality are discussed.
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0.829136848449707
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0.8229753971099854
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0.8023685812950134
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