Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change

Changli He, Timo Teräsvirta and Andres Gonzalez

Econometric Reviews, 2009, vol. 28, issue 1-3, 225-245

Abstract: In this article we derive a parameter constancy test of a stationary vector autoregressive model against the hypothesis that the parameters of the model change smoothly over time. A single structural break is contained in this alternative hypothesis as a special case. The test is a generalization of a single-equation test of a similar hypothesis proposed in the literature. An advantage here is that the asymptotic distribution theory is standard. The performance of the tests is compared to that of generalized Chow-tests and found satisfactory in terms of both size and power.

Keywords: JEL; C32; C12 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (14)

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Working Paper: Testing parameter constancy in stationary vector autoregressive models against continuous change (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:taf:emetrv:v:28:y:2009:i:1-3:p:225-245

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DOI: 10.1080/07474930802388041

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