Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change

Publicado en

  • Econometric Reviews


  • 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.

fecha de publicación

  • 2009

Líneas de investigación

  • Econometric Modelling
  • Misspecification Test
  • Parameter Stability
  • Smooth Transition
  • Structural Break

Página inicial

  • 225

Última página

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