Stability tests in error correction models
L'objectif est de tester la constance des paramètres de modèles économétriques, en particulier à variables échelonnées du type: \(\Delta y_{t-1} =\Pi y_{t-1} +u_t\). L'étude se rattache ainsi au papier historique de \textit{G. C. Chow} [Econometrica 28, 591-605 (1960; Zbl 0099.14304)], mais se rapproche surtout de celui de \textit{W. Ploberger} et al. [J. Econ. 40, No. 2, 307-318 (1989; Zbl 0668.62045)] qu'il étend au cas où la matrice \(\Pi\) n'est pas de plein rang. Asymptotiquement, les valeurs critiques du test de fluctuation s'obtiennent à l'aide des résultats obtenus par \textit{D. W. K. Andrews} [Econometrica 61, No. 4, 821-856 (1993; Zbl 0795.62012)] dans son étude de stabilité paramétrique utilisant la méthode des moments. Cette étude examine aussi les conséquences d'une erreur de spécification du rang: en particulier, une surévaluation de celui-ci accroît la probabilité de rejet à tort de l'hypothèse nulle (de stabilité des paramètres). Le papier fournit le test de fluctuation dans le cas de perturbations gaussiennes et aussi dans un cas non paramétrique. Enfin une étude de puissance du test est effectuée pour des échantillons finis, sur données simulées.
- Testing for an unstable root in conditional and structural error correction models
- Testing for structural stability in the whole sample
- Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change
- A note on tests of partial parameter stability in the cointegrated system
- A new test for structural stability in the linear regression model
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Estimation for Partially Nonstationary Multivariate Autoregressive Models
- Five alternative methods of estimating long-run equilibrium relationships
- Fully Modified Least Squares and Vector Autoregression
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- scientific article; zbMATH DE number 3502628 (Why is no real title available?)
- scientific article; zbMATH DE number 472927 (Why is no real title available?)
- scientific article; zbMATH DE number 762936 (Why is no real title available?)
- Multiple Time Series Regression with Integrated Processes
- Regression Theory for Near-Integrated Time Series
- Residual-based tests for cointegration in models with regime shifts
- Statistical analysis of cointegration vectors
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Testing for Common Trends
- Testing for structural breaks in cointegrated relationships
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Tests of Equality Between Sets of Coefficients in Two Linear Regressions
- Comparison of tests for the cointegrating rank of a VAR process with a structural shift
- A note on tests of partial parameter stability in the cointegrated system
- Combining p-values to test for multiple structural breaks in cointegrated regressions
- Testing for the cointegration rank when some cointegrating directions are changing
- Regime-switching cointegration
- Cointegration rank switching model: an application to forecasting interest rates
- Time-varying cointegration
- Efficient estimation and inference in cointegrating regressions with structural change
- Testing for the Null Hypothesis of Cointegration with a Structural Break
- Multiple structural breaks in vector error correction models
- Bayesian inference in a time varying cointegration model
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