¹Banco de la República. E-mail: egonzamo@banrep.gov.co
²Universidad Nacional de Colombia. E-mail:fhnietos@unal.edu.co

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 inter est 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 statis tical tests tend to be most powerful than the usual Dickey-Fuller tests.

Keywords: Structural models, Unit roots, Unobservable process.

Las pruebas de raíces unitarias son una práctica común en procesos estocásti cos 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 distribu ciones 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 es tocástico de tendencia. Se encuentra que estas pruebas estadísticas tienden a ser más potentes que las pruebas usuales de Dickey-Fuller.

Palabras Clave: Modelos estructurales, raíces unitarias, procesos no obser- vables.

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