Testing parameter constancy in stationary vector autoregressive models against continuous change
In this paper we derive a parameter constancy test of a stationary vector autoregressive model against the hypothesis that the parameters of the model change smoothly over time. A single structural break is contained in this alternative hypothesis as a special case. The test is a generalization of a single-equation test of a similar hypothesis proposed in the literature. An advantage here is that the asymptotic distribution theory is standard. The performance of the tests is compared to that of generalized Chow-tests and found satisfactory in terms of both size and power.
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|Date of creation:||30 Aug 2002|
|Date of revision:||06 May 2004|
|Publication status:||Published in Econometric Reviews, 2009, pages 225-245.|
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