Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change

DOI10.1080/07474930802388041zbMath1156.62056OpenAlexW2014808290MaRDI QIDQ3615086

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Publication date: 17 March 2009

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474930802388041

zbMATH Keywords

simulationsstructural breakparameter stabilitymartingale difference sequencemisspecification testsmooth transitioneconometric modelling

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

Related Items (4)

Testing for Stationarity in Multivariate Locally Stationary Processes ⋮ Estimating a gradual parameter change in an AR(1)-process ⋮ Inference of time-varying regression models ⋮ Time-varying nonlinear regression models: nonparametric estimation and model selection

Cites Work

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• Stochastic Limit Theory
• Some tests for parameter constancy in cointegrated VAR‐models
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• Linear Statistical Inference and its Applications
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• On the reliability of Chow-type tests for parameter constancy in multivariate dynamic models.

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