On the reliability of Chow-type tests for parameter constancy in multivariate dynamic models.

DOI10.1016/S0165-1765(01)00478-5zbMath1056.91544MaRDI QIDQ5958678

Bertrand Candelon, Helmut Lütkepohl

Publication date: 3 March 2002

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

BootstrapStability testsVector autoregressive processVector error correction model

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items (3)

Lag length and mean break in stationary VAR models ⋮ Global hemispheric temperatures and co-shifting: a vector shifting-mean autoregressive analysis ⋮ Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change

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