A note on testing parameter constancy in cointegrated vector autoregression: the case of near I(2) processes

Takamitsu Kurita ()
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Takamitsu Kurita: Fukuoka University

Economics Bulletin, 2009, vol. 29, issue 2, 575-587

Abstract: This note investigates the behaviour of a parameter-constancy test statistic when near I(2) (integrated of order 2) variables are incorporated in a cointegrated vector autoregressive system. Simulation studies indicate that the presence of such variables has a significant impact on size properties of the constancy test.

Keywords: Parameter Constancy; Cointegraed Vector Autoregression; Near I(2) Variable. (search for similar items in EconPapers)
JEL-codes: C3 (search for similar items in EconPapers)
Date: 2009-04-13
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