Published

2005-01-01

UNA NOTA ACERCA DE LA PRUEBA DE RAICES UNITARIAS EN LA COMPONENTE DE TENDENCIA NO OBSERVABLE DE UN MODELO ESTRUCTURAL

A NOTE ON TESTING FOR UNIT ROOTS IN THE UNOBSERVABLE TREND COMPONENT OF A STRUCTURAL MODEL

Keywords:

Modelos estructurales, raíces unitarias, procesos no observables (es)
Structural models, Unit roots, Unobservable process (en)

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Authors

  • Eliana R. González Banco de la República
  • Fabio H. Nieto Universidad Nacional de Colombia
Las pruebas de raíces unitarias son una práctica común en procesos estocásticos observables y se encuentra literatura abundante sobre este tema. Sin embargo, en ocasiones, aunque el problema es el mismo, los procesos de interés son latentes o no observables. En este artículo se obtienen distribuciones empíricas de las estadísticas de prueba usuales de raíces unitarias para el componente de tendencia de algunos modelos estructurales particulares, basadas en predicciones óptimas (como los datos observados) del proceso estocástico de tendencia. Se encuentra que estas pruebas estadísticas tienden a ser más potentes que las pruebas usuales de Dickey-Fuller.
Testing for unit roots is a common practice in observable stochastic processes and there is abundant literature on this topic. However, sometimes, one is faced with the same problem but in the case where the processes of interest are latent or unobservable. In this paper, empirical distributions of the usual unit-root test statistics are obtained for the trend component of some particular structural models, which are based on optimal predictions (as the observed data) of the trend stochastic process. It is found that these statistical tests tend to be most powerful than the usual Dickey-Fuller tests.

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Copyright (c) 2005 Revista Colombiana de Estadística

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