Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change (Q3615086)

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Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change
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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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