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On the Reliability of Chow Type Test for Parameter Constancy in Multivariate Dynamic Models

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Author Info
B. Candelon
H. Lütkepohl

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Paper provided by Humboldt Universitaet Berlin in its series Sonderforschungsbereich 373 with number 2000-95.

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Handle: RePEc:wop:humbsf:2000-95

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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. Andreas Beyer, 1998. "Modelling money demand in Germany," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(1), pages 57-76. [Downloadable!]
  2. Tom Engsted & Ken Nyholm, 2000. "Regime shifts in the Danish term structure of interest rates," Empirical Economics, Springer, vol. 25(1), pages 1-13. [Downloadable!] (restricted)
  3. Engsted, Tom & Tanggaard, Carsten, 1994. "A Cointegration Analysis of Danish Zero-Coupon Bond Yields," Applied Financial Economics, Taylor and Francis Journals, vol. 4(4), pages 265-78, August. [Downloadable!] (restricted)
  4. Katarina Juselius, 1998. "Changing monetary transmission mechanisms within the EU," Empirical Economics, Springer, vol. 23(3), pages 455-481. [Downloadable!] (restricted)
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  1. Mehrotra, Aaron, 2006. "Demand for money in transition: Evidence from China's disinflation," BOFIT Discussion Papers 10/2006, Bank of Finland, Institute for Economies in Transition. [Downloadable!]
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  2. Markku Lanne, Helmut Luetkepohl, 2006. "Identifying Monetary Policy Shocks via Changes in Volatility," Economics Working Papers ECO2006/23, European University Institute. [Downloadable!]
    Other versions:
  3. Helmut LÜTKEPOHL, 2004. "Recent Advances in Cointegration Analysis," Economics Working Papers ECO2004/12, European University Institute. [Downloadable!]
  4. Bakucs, L.Z. & Brummer, B. & Von Cramon-Taubadel, S. & Ferto, I., 2008. "Wheat market integration between Hungary and Germany," 2008 International Congress, August 26-29, 2008, Ghent, Belgium 44171, European Association of Agricultural Economists. [Downloadable!]
  5. Brummer, Bernhard & Zorya, Sergiy, 2005. "Wheat / Flour Price Transmission and Agricultural Policies in Ukraine: A Markov-Switching Vector Error Correction Approach," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark 24624, European Association of Agricultural Economists. [Downloadable!]
  6. Jan Gottschalk & Ulrich Fritsche, 2005. "The New Keynesian Model and the Long-Run Vertical Phillips Curve: Does It Hold for Germany?," Discussion Papers of DIW Berlin 521, DIW Berlin, German Institute for Economic Research. [Downloadable!]
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  7. Bachmann, Ronald & Burda, Michael C., 2008. "Sectoral Transformation, Turbulence, and Labor Market Dynamics in Germany," IZA Discussion Papers 3324, Institute for the Study of Labor (IZA). [Downloadable!]
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  8. Korhonen, Iikka & Mehrotra, Aaron, 2009. "Real Exchange Rate, Output and Oil: Case of Four Large Energy Producers," BOFIT Discussion Papers 6/2009, Bank of Finland, Institute for Economies in Transition. [Downloadable!]
  9. Bertrand Candelon & Gianluca Cubadda, 2006. "Testing for Parameter Stability in Dynamic Models Across Frequencies," CEIS Research Paper 82, Tor Vergata University, CEIS. [Downloadable!]
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  10. R. Golinelli & R. Rovelli, 2001. "Interest Rate Rules and Inflation Targeting in Three Transition Countries," Working Papers 429, Dipartimento Scienze Economiche, Universita' di Bologna. [Downloadable!]
  11. Philip Marey & Arnaud Dupuy, 2004. "Shifts and Twists in the Relative Productivity of Skilled Labor: Reconciling Accelerated SBTC with the Productivity Slowdown," Econometric Society 2004 North American Summer Meetings 118, Econometric Society. [Downloadable!]
  12. He, Changli & Teräsvirta, Timo & González, Andres, 2002. "Testing parameter constancy in stationary vector autoregressive models against continuous change," Working Paper Series in Economics and Finance 507, Stockholm School of Economics, revised 06 May 2004.
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  13. Brummer, Bernhard & von Cramon-Taubadel, Stephan & Zorya, Sergiy, 2006. "Vertical Price Transmission between Wheat and Flour in Ukraine: A Markov-Switching Vector Error Correction Approach," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia 25575, International Association of Agricultural Economists. [Downloadable!]
  14. Koivu, Tuuli, 2008. "Has the Chinese economy become more sensitive to interest rates? Studying credit demand in China," BOFIT Discussion Papers 1/2008, Bank of Finland, Institute for Economies in Transition. [Downloadable!]
  15. Roberto Golinelli & Riccardo Rovelli, 2002. "Monetary Policy Transmission, Interest Rate Rules and Inflation Targeting in Three Transition Countries," Eastward Enlargement of the Euro-zone Working Papers wp10, Free University Berlin, Jean Monnet Centre of Excellence, revised 01 Aug 2002. [Downloadable!]
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  16. Manner, Hans & Candelon, Bertrand, 2007. "Testing for Asset Market Linkages: A new Approach based on Time-Varying Copulas," Research Memoranda 052, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
  17. Sandra Eickmeier & Joerg Breitung, 2006. "Business cycle transmission from the euro area to CEECs," Computing in Economics and Finance 2006 229, Society for Computational Economics. [Downloadable!]
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