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Optimal test against a random walk component in a non-orthogonal unobserved components model

Bailey, Ralph W and Taylor, A.M.Robert

Optimal test against a random walk component in a non-orthogonal unobserved components model J5039 2002 - 2002 - 520-532 V. 05 Issue. 2

Subjects--Topical Terms:
Econometrics

Subjects--Index Terms: Locally best invariant test;Non orthogonal components;Brownian motion;

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