Testing constancy of the error covariance matrix in vector models

Bruno Eklund and Timo Teräsvirta

No 549, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics

Abstract: This paper contains a Lagrange multiplier test of the hypothesis that the covariance matrix of a multivariate time series model is constant over time. It is further assumed that under the alternative, the error variances are time-varying whereas the correlation remain constant over time. Under the parameterized alternative hypothesis the variance may change continuously as a function of time or some observable stochastic variables.

Keywords: error covariance structure; Lagrange multiplier test; model misspecification; Monte Carlo simulation (search for similar items in EconPapers)
JEL-codes: C32 C52 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2003-11-28, Revised 2006-01-18
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-rmg
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Published in Journal of Econometrics, 2007, pages 753-780.

Downloads: (external link)
http://swopec.hhs.se/hastef/papers/hastef0549.zip Program Files and Results (application/zip)

Related works:
Journal Article: Testing constancy of the error covariance matrix in vector models (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hhs:hastef:0549

Access Statistics for this paper

More papers in SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden. Contact information at EDIRC.
Bibliographic data for series maintained by Helena Lundin ().