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CVSTABTEST: RATS procedure to perform stability tests on a covariance matrix

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language

RATS

Abstract

Performs the special case of the Nyblom test for the case of a complete covariance matrix. Note that while this should have the correct asymptotic distribution under the null (under fairly typical assumptions in addition to stability), the argument for it being UMP against an alternative of martingale behavior won't hold because the covariance matrix is constrained to be positive definite.

Suggested Citation

  • Tom Doan, "undated". "CVSTABTEST: RATS procedure to perform stability tests on a covariance matrix," Statistical Software Components RTS00046, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:rts00046
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
    as

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    File URL: https://www.estima.com/procs_perl/cvstabtest.src
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