Testing constancy of the error covariance matrix in vector models
This paper contains a Lagrange multiplier test of the hypothesis that the covariance matrix of a multivariate time series model is constant over time. It is further assumed that under the alternative, the error variances are time-varying whereas the correlation remain constant over time. Under the parameterized alternative hypothesis the variance may change continuously as a function of time or some observable stochastic variables.
|Date of creation:||28 Nov 2003|
|Date of revision:||18 Jan 2006|
|Publication status:||Published in Journal of Econometrics, 2007, pages 753-780.|
|Contact details of provider:|| Postal: The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden|
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