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On the reliability of chow type test for parameter constancy in multivariate dynamic models

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  • Candelon, Bertrand
  • Lütkepohl, Helmut

Abstract

The small sample properties of two types of Chow tests are investigated in the context of multiple time series models. It is found that the tests may have substantially distorted size if the sample size is not large relative to the number of parameters in the model under study. In particular the tests reject far too often in this situation. It is shown that bootstrap versions of the tests have much better properties in this respect. In other words, the bootstrap can be used to size-adjust the tests. --

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Bibliographic Info

Paper provided by Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes in its series SFB 373 Discussion Papers with number 2000,95.

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Date of creation: 2000
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Handle: RePEc:zbw:sfb373:200095

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Keywords: vector autoregressive process; vector error correction model; bootstrap; stability tests;

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  1. Katarina Juselius, 1996. "An Empirical Analysis of the Changing Role of the German Bundesbank after 1983," Discussion Papers 96-18, University of Copenhagen. Department of Economics.
  2. Horowitz, Joel L., 2001. "The Bootstrap," Handbook of Econometrics, Elsevier, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 5, chapter 52, pages 3159-3228 Elsevier.
  3. Katarina Juselius, 1997. "Changing Monetary Transmission Mechanisms within the EU," Discussion Papers 97-18, University of Copenhagen. Department of Economics.
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