On the reliability of Chow-type tests for parameter constancy in multivariate dynamic models
AbstractThe small sample properties of two types of Chow tests are investigated in the context of multiple time series models. It is found that the tests may have substantially distorted size if the sample size is not large relative to the number of parameters in the model under study. In particular the tests reject far too often in this situation. It is shown that bootstrap versions of the tests have much better properties in this respect. In other words, the bootstrap can be used to size-adjust the tests. --
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 73 (2001)
Issue (Month): 2 (November)
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Web page: http://www.elsevier.com/locate/ecolet
Other versions of this item:
- Candelon, Bertrand & Lütkepohl, Helmut, 2000. "On the reliability of chow type test for parameter constancy in multivariate dynamic models," SFB 373 Discussion Papers 2000,95, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
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