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Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change

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Author Info
Changli He
Timo Terasvirta
Andres Gonzalez

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Abstract

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.

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File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/07474930802388041&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
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Publisher Info
Article provided by Taylor and Francis Journals in its journal Econometric Reviews.

Volume (Year): 28 (2009)
Issue (Month): 1-3 ()
Pages: 225-245
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Handle: RePEc:taf:emetrv:v:28:y:2009:i:1-3:p:225-245

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Keywords: JEL; C32; C12;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. G. S. Hongyi Li, 1996. "Bootstrapping time series models," Econometric Reviews, Taylor and Francis Journals, vol. 15(2), pages 115-158. [Downloadable!] (restricted)
  2. Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November. [Downloadable!] (restricted)
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  3. Ripatti, Antti & null, Pentti, 2001. "Vector Autoregressive Processes With Nonlinear Time Trends In Cointegrating Relations," Macroeconomic Dynamics, Cambridge University Press, vol. 5(04), pages 577-597, September. [Downloadable!]
  4. Hansen, Bruce E, 1996. "Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis," Econometrica, Econometric Society, vol. 64(2), pages 413-30, March. [Downloadable!] (restricted)
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  5. Henrik Hansen & Søren Johansen, 1999. "Some tests for parameter constancy in cointegrated VAR-models," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 306-333.
  6. B. Candelon & H. Lütkepohl, . "On the Reliability of Chow Type Test for Parameter Constancy in Multivariate Dynamic Models," Sonderforschungsbereich 373 2000-95, Humboldt Universitaet Berlin.
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  7. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-56, July. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Hannu Koskinen, 2004. "Modelling of Structural Changes in Demand for Money Cointegration Relations," Finnish Economic Papers, Finnish Economic Association, vol. 17(2), pages 63-72, Autumn. [Downloadable!]
  2. Zsolt Darvas, 2009. "Monetary Transmission in three Central European Economies: Evidence from Time-Varying Coefficient Vector Autoregressions," Working Papers 0903, Department of Mathematical Economics and Economic Analysis, Corvinus University of Budapest. [Downloadable!]
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  3. Andrés González & Hernán Rincóm & Norberto Rodríguez, 2008. "La transmisión de los choques a la tasa de cambio sobre la inflación," BORRADORES DE ECONOMIA 005089, BANCO DE LA REPÚBLICA. [Downloadable!]
  4. Andrés González & Hernán Rincón & Norberto Rodríguez, . "La transmisión de los choques a la tasa de cambio sobre la inflación de los bienes importados en presencia de asimetrías," Borradores de Economia 532, Banco de la Republica de Colombia. [Downloadable!]
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