Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change (Q3615086)
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scientific article; zbMATH DE number 5529888
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| English | Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change |
scientific article; zbMATH DE number 5529888 |
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Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change (English)
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17 March 2009
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econometric modelling
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misspecification test
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parameter stability
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smooth transition
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structural break
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martingale difference sequence
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simulations
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0.8852964043617249
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0.8763267993927002
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0.8341754078865051
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