Testing for Instability in Covariance Structures
Download full text from publisher
Other versions of this item:
References listed on IDEAS
- Davidson, James, 1994. "Stochastic Limit Theory: An Introduction for Econometricians," OUP Catalogue, Oxford University Press, number 9780198774037, June.
- Carriero, A. & Kapetanios, G. & Marcellino, M., 2009.
"Forecasting exchange rates with a large Bayesian VAR,"
International Journal of Forecasting,
Elsevier, vol. 25(2), pages 400-417.
- Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano, 2008. "Forecasting Exchange Rates with a Large Bayesian VAR," CEPR Discussion Papers 7008, C.E.P.R. Discussion Papers.
- Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2008. "Forecasting Exchange Rates with a Large Bayesian VAR," Working Papers 634, Queen Mary University of London, School of Economics and Finance.
- A. Carriero & G. Kapetanios & M. Marcellino, 2008. "Forecasting Exchange Rates with a Large Bayesian VAR," Economics Working Papers ECO2008/33, European University Institute.
- Castle, Jennifer L. & Fawcett, Nicholas W.P. & Hendry, David F., 2010.
"Forecasting with equilibrium-correction models during structural breaks,"
Journal of Econometrics,
Elsevier, vol. 158(1), pages 25-36, September.
- Jennifer Castle & David Hendry & Nicholas W.P. Fawcett, 2008. "Forecasting with Equilibrium-correction Models during Structural Breaks," Economics Series Working Papers 408, University of Oxford, Department of Economics.
- Aue, Alexander & Horváth, Lajos & Hušková, Marie, 2012. "Segmenting mean-nonstationary time series via trending regressions," Journal of Econometrics, Elsevier, vol. 168(2), pages 367-381.
- Jushan Bai, 2000.
"Vector Autoregressive Models with Structural Changes in Regression Coefficients and in Variance-Covariance Matrices,"
Annals of Economics and Finance,
Society for AEF, vol. 1(2), pages 303-339, November.
- 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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Matteo Barigozzi & Lorenzo Trapani, 2017. "Sequential testing for structural stability in approximate factor models," Papers 1708.02786, arXiv.org.
More about this item
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
NEP fieldsThis paper has been announced in the following NEP Reports:
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:uct:uconnp:2016-33. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Mark McConnel). General contact details of provider: http://edirc.repec.org/data/deuctus.html .