CVSTABTEST: RATS procedure to perform stability tests on a covariance matrix

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Performs the special case of the Nyblom test for the case of a complete covariance matrix. Note that while this should have the correct asymptotic distribution under the null (under fairly typical assumptions in addition to stability), the argument for it being UMP against an alternative of martingale behavior won't hold because the covariance matrix is constrained to be positive definite.

Language: RATS
Requires: RATS 7.30
Keywords: Nyblom test; Stability tests (search for similar items in EconPapers)
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https://www.estima.com/procs_perl/cvstabtest.src (text/plain)

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