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Testing for Parameter Stability in Dynamic Models across Frequencies Author info | Abstract | Publisher info | Download info | Related research | Statistics Candelon,Bertrand
Cubadda,Gianluca (METEOR)
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This paper contributes to the econometric literature on structural breaks by proposing a test for parameter stability in VAR models at a particular frequency 'omega', where 'omega is an element of [0, pi]'.When a dynamic model is affected by a structural break, the new tests allow for detecting which frequencies of the data are responsible for parameter instability. If the model is locally stable at the frequencies of interest, the whole sample size can be then exploited despite the presence of a break. Two empirical examples illustrate that local instability can concern only the lower frequencies (decrease in the postwar U.S. productivity) or higher frequencies(change in the U.S. monetary policy in the early 80's).
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Paper provided by Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization in its series Research Memoranda with number
022.
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Date of creation: 2005Date of revision:
Handle: RePEc:dgr:umamet:2005022Contact details of provider: Web page: http://edocs.ub.unimaas.nl/
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Keywords: econometrics ; Other versions of this item:
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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.: Arturo Estrella & Anthony P. Rodrigues & Sebastian Schich, 2000.
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Perron, P. & Bai, J., 1995.
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9552, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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[Downloadable!] Breitung, Jorg & Candelon, Bertrand, 2006.
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Andrews, Donald W K, 1993.
"Tests for Parameter Instability and Structural Change with Unknown Change Point ,"
Econometrica ,
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Other versions: Plosser, Charles I. & Geert Rouwenhorst, K., 1994.
"International term structures and real economic growth ,"
Journal of Monetary Economics ,
Elsevier, vol. 33(1), pages 133-155, February.
[Downloadable!] (restricted)
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