Testing parameter constancy in stationary vector autoregressive models against continuous change
Changli He (),
Timo Teräsvirta () and
Andres Gonzalez ()
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Changli He: Dept. of Economic Statistics, Stockholm School of Economics, Postal: Stockholm School of Economics, P.O. Box 6501, SE-113 83 Stockholm, Sweden
No 507, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics
In this paper 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: econometric modelling; misspecification test; parameter stability; smooth transition; structural break (search for similar items in EconPapers)
JEL-codes: C32 C52 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2002-08-30, Revised 2005-07-11
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Published in Econometric Reviews, 2009, pages 225-245.
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Journal Article: Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:hastef:0507
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