Monte Carlo test for stochastic trend in linear structural models for the location-scale family.
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2021
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In linear structural 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, where the analytical shape of the distribution must be defined by the user prior to apply the method. 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 distribution of the trend term when it is actually stochastic.
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Time series
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SILVA, I. R. et al. Monte Carlo test for stochastic trend in linear structural models for the location-scale family. Brazilian review of econometrics, v. 40, n. 2, p. 215-231, nov. 2021. Disponível em: <https://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/81082>. Acesso em: 25 ago. 2021.