Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change

DOI10.1080/07474930802388041MaRDI QIDQ3615086zbMATH OpenOpenAlexFDO

Authors

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

econometric modellingmartingale difference sequencemisspecification testparameter stabilitysimulationssmooth transitionstructural break

Mathematics Subject Classification ID

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

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Cites work

• Bootstrapping time series models
• Consistency and asymptotic efficiency of slope estimates in stochastic approximation schemes
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• Linear Statistical Inference and its Applications
• Martingale Central Limit Theorems
• On the reliability of Chow-type tests for parameter constancy in multivariate dynamic models.
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Some tests for parameter constancy in cointegrated VAR‐models
• Stochastic Limit Theory
• Structural changes in the cointegrated vector autoregressive model
• Testing For and Dating Common Breaks in Multivariate Time Series
• Testing for the Constancy of Parameters Over Time
• Testing linearity against smooth transition autoregressive models
• Testing the constancy of regression parameters against continuous structural change
• Tests for Parameter Instability and Structural Change With Unknown Change Point

Cited in

(15)

• Testing parameter constancy in linear models against stochastic stationary parameters
• Testing the constancy of regression parameters against continuous structural change
• Stability tests in error correction models
• Estimating a gradual parameter change in an AR(1)-process
• Time-varying nonlinear regression models: nonparametric estimation and model selection
• Testing for stationarity in multivariate locally stationary processes
• Some tests for parameter constancy in cointegrated VAR‐models
• Testing constancy of the error covariance matrix in vector models
• On testing changes in autoregressive parameters of a VAR model
• Testing Parameter Constancy in Unit Root Autoregressive Models Against Multiple Continuous Structural Changes
• Deterministic parameter change models in continuous and discrete time
• scientific article; zbMATH DE number 233049 (Why is no real title available?)
• On the reliability of Chow-type tests for parameter constancy in multivariate dynamic models.
• Inference of time-varying regression models
• A sequential test procedure for the choice of the number of regimes in multivariate nonlinear models

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