On the reliability of chow type test for parameter constancy in multivariate dynamic models
The small sample properties of two types of Chow tests are investigated in the context of multiple time series models. It is found that the tests may have substantially distorted size if the sample size is not large relative to the number of parameters in the model under study. In particular the tests reject far too often in this situation. It is shown that bootstrap versions of the tests have much better properties in this respect. In other words, the bootstrap can be used to size-adjust the tests.
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- Katarina Juselius, 1998.
"Changing monetary transmission mechanisms within the EU,"
Springer, vol. 23(3), pages 455-481.
- Katarina Juselius, 1997. "Changing Monetary Transmission Mechanisms within the EU," Discussion Papers 97-18, University of Copenhagen. Department of Economics.
- Juselius, Katarina, 1996. "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.
- Horowitz, Joel L., 2001. "The Bootstrap," Handbook of Econometrics,in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 5, chapter 52, pages 3159-3228 Elsevier. Full references (including those not matched with items on IDEAS)
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