On the reliability of chow type test for parameter constancy in multivariate dynamic models
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- Candelon, Bertrand & Lutkepohl, Helmut, 2001. "On the reliability of Chow-type tests for parameter constancy in multivariate dynamic models," Economics Letters, Elsevier, vol. 73(2), pages 155-160, November.
References listed on IDEAS
- Katarina Juselius, 1998.
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"An Empirical Analysis of the Changing Role of the German Bundesbank after 1983,"
Oxford Bulletin of Economics and Statistics,
Department of Economics, University of Oxford, vol. 58(4), pages 791-819, November.
- Katarina Juselius, 1996. "An Empirical Analysis of the Changing Role of the German Bundesbank after 1983," Discussion Papers 96-18, University of Copenhagen. Department of Economics.
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More about this item
Keywordsvector autoregressive process; vector error correction model; bootstrap; stability tests;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
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