Testing parameter constancy in stationary vector autoregressive models against continuous change

Econometric Reviews

Volumn 28, Issue 1-3, 2009, Pages 225-245

  He, Changli ^b,c   Teräsvirta, Timo ^a,d   Gonzalez, Andrés ^e  

^a AARHUS UNIVERSITY   (Denmark)

^b DALARNA UNIVERSITY   (Sweden)

^c TIANJIN UNIVERSITY OF FINANCE AND ECONOMICS   (China)

^d STOCKHOLM SCHOOL OF ECONOMICS   (Sweden)

^e BANCO DE LA REPÚBLICA   (Colombia)

Author keywords

Econometric modelling; Misspecification test; Parameter stability; Smooth transition; Structural break

Indexed keywords

EID: 58149129987     PISSN: 07474938     EISSN: 15324168     Source Type: Journal    
DOI: 10.1080/07474930802388041     Document Type: Conference Paper

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