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On the reliability of chow type test for parameter constancy in multivariate dynamic models

Bertrand Candelon () and Helmut Lütkepohl ()

No 2000,95, SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Abstract: The small sample properties of two types of Chow tests are investigated in the context of multiple time series models. It is found that the tests may have substantially distorted size if the sample size is not large relative to the number of parameters in the model under study. In particular the tests reject far too often in this situation. It is shown that bootstrap versions of the tests have much better properties in this respect. In other words, the bootstrap can be used to size-adjust the tests.

Keywords: vector autoregressive process; vector error correction model; bootstrap; stability tests (search for similar items in EconPapers)
JEL-codes: C32 E41 E43 (search for similar items in EconPapers)
Date: 2000
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Journal Article: On the reliability of Chow-type tests for parameter constancy in multivariate dynamic models (2001) Downloads
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