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Testing parameter constancy in stationary vector autoregressive models against continuous change
Dalarna University, School of Technology and Business Studies, Statistics.
2008 (English)In: Econometric Reviews, ISSN 0747-4938, E-ISSN 1532-4168, Vol. 28, no 1-3, p. 225-245Article in journal (Refereed) Published
Abstract [en]

In this article we derive a parameter constancy test of a stationary vector autoregressive model against the hypothesis that the parameters of the model change smoothly over time. A single structural break is contained in this alternative hypothesis as a special case. The test is a generalization of a single-equation test of a similar hypothesis proposed in the literature. An advantage here is that the asymptotic distribution theory is standard. The performance of the tests is compared to that of generalized Chow-tests and found satisfactory in terms of both size and power.

Place, publisher, year, edition, pages
2008. Vol. 28, no 1-3, p. 225-245
Keywords [en]
Econometric modelling, Misspecification test, Parameter stability, Smooth transition, Structural break, JEL, C32, C12
National Category
Probability Theory and Statistics
Research subject
Komplexa system - mikrodataanalys
Identifiers
URN: urn:nbn:se:du-3671DOI: 10.1080/07474930802388041ISI: 000261937600013OAI: oai:dalea.du.se:3671DiVA, id: diva2:520001
Available from: 2009-01-30 Created: 2009-01-30 Last updated: 2017-12-07Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
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  • nn-NB
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