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Testing for Parameter Stability in Dynamic Models across Frequencies

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  • Bertrand Candelon
  • Gianluca Cubadda

Abstract

This paper contributes to the econometric literature on structural breaks by proposing a test for parameter stability in vector autoregressive (VAR) models at a particular frequency "ω", where "ω" is an element of [0, "π"]. 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 then be exploited despite the presence of a break. The methodology is applied to analyse the productivity slowdown in the US, and the outcome is that local stability concerns only the higher frequencies of data on consumption, investment and output. Copyright 2006 Blackwell Publishing Ltd.

Suggested Citation

  • Bertrand Candelon & Gianluca Cubadda, 2006. "Testing for Parameter Stability in Dynamic Models across Frequencies," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 741-760, December.
  • Handle: RePEc:bla:obuest:v:68:y:2006:i:s1:p:741-760
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    References listed on IDEAS

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    Cited by:

    1. Yanfeng Wei, 2015. "The informational role of commodity prices in formulating monetary policy: a reexamination under the frequency domain," Empirical Economics, Springer, vol. 49(2), pages 537-549, September.
    2. Atella, Vincenzo & Centoni, Marco & Cubadda, Gianluca, 2008. "Technology shocks, structural breaks and the effects on the business cycle," Economics Letters, Elsevier, vol. 100(3), pages 392-395, September.
    3. repec:eee:energy:v:140:y:2017:i:p1:p:185-197 is not listed on IDEAS

    More about this item

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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