Bertrand Candelon () (University of Maastricht - Department of Economics) Gianluca Cubadda () (University of Rome II - Department of Financial and Quantitative Economics)
Additional information is available for the following
registered author(s):
This paper contributes to the econometric literature on structural breaks by proposing a test for parameter stability in VAR models at a particular frequency w, where w [0, p]. 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 stability can concern only the lower frequencies (change in the U.S. monetary policy in the early 80'(s) or higher frequencies (decrease in the postwar U.S. productivity).
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Paper provided by Tor Vergata University, CEIS in its series CEIS Research Paper with number
82.
Length: 22 Date of creation: 31 May 2006 Date of revision: Handle: RePEc:rtv:ceisrp:82
Contact details of provider: Postal: CEIS - Centre for Economic and International Studies - Faculty of Economics - University of Rome "Tor Vergata" - Via Columbia, 2 00133 Roma Phone: +39062040234 Fax: +39062020687 Email: Web page: http://www.ceistorvergata.it More information through EDIRC
Order Information: Postal: CEIS - Centre for Economic and International Studies - Faculty of Economics - University of Rome "Tor Vergata" - Via Columbia, 2 00133 Roma Email: Web: http://www.ceistorvergata.it
For technical questions regarding this item, or to correct its listing, contact: (Marcello Di Biagio).
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.: