Testing for Parameter Stability in Dynamic Models Across Frequencies

Bertrand Candelon and Gianluca Cubadda

CEIS Research Paper from Tor Vergata University, CEIS

Abstract: This paper contributes to the econometric literature on structural breaks by proposing a test for parameter stability in VAR models at a particular frequency w, where w [0, p]. When a dynamic model is affected by a structural break, the new tests allow for detecting which frequencies of the data are responsible for parameter instability. If the model is locally stable at the frequencies of interest, the whole sample size can be then exploited despite the presence of a break. Two empirical examples illustrate that local stability can concern only the lower frequencies (change in the U.S. monetary policy in the early 80'(s) or higher frequencies (decrease in the postwar U.S. productivity).

Keywords: Structural breaks; spectral analysis; productivity slowdown; yield curve (search for similar items in EconPapers)
JEL-codes: C32 E43 (search for similar items in EconPapers)
Pages: 22
Date: 2006-05-31
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Related works:
Journal Article: Testing for Parameter Stability in Dynamic Models across Frequencies* (2006)
Working Paper: Testing for parameter stability in dynamic models across frequencies (2005)
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