Vector Autoregressive Models with Structural Changes in Regression Coefficients and in Variance-Covariance Matrices
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- Jushan Bai, 1999. "Vector Autoregressive Models with Structural Changes in Regression Coefficients and in Variance-Covariance Matrices," CEMA Working Papers 24, China Economics and Management Academy, Central University of Finance and Economics, revised Oct 2000.
References listed on IDEAS
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More about this item
KeywordsStructural change; Multiple change points; QMLE; VAR; BIC;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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