Testing parameter constancy in stationary vector autoregressive models against continuous change
AbstractIn this paper 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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Bibliographic InfoPaper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 507.
Length: 24 pages
Date of creation: 30 Aug 2002
Date of revision: 06 May 2004
Publication status: Published in Econometric Reviews, 2009, pages 225-245.
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More information through EDIRC
econometric modelling; misspecification test; parameter stability; smooth transition; structural break;
Other versions of this item:
- Changli He & Timo Terasvirta & Andres Gonzalez, 2009. "Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change," Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 225-245.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
This paper has been announced in the following NEP Reports:
- NEP-ALL-2002-09-21 (All new papers)
- NEP-ECM-2002-09-21 (Econometrics)
- NEP-ETS-2002-09-21 (Econometric Time Series)
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