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Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes, Humboldt-Universität Berlin >
Discussion Papers, SFB 373, HU Berlin >
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http://hdl.handle.net/10419/62173
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| Title: | | On the reliability of chow type test for parameter constancy in multivariate dynamic models  |
| Authors: | | Candelon, Bertrand Lütkepohl, Helmut |
| Issue Date: | | 2000 |
| Series/Report no.: | | Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2000,95 |
| Abstract: | | The small sample properties of two types of Chow tests are investigated in the context of multiple time series models. It is found that the tests may have substantially distorted size if the sample size is not large relative to the number of parameters in the model under study. In particular the tests reject far too often in this situation. It is shown that bootstrap versions of the tests have much better properties in this respect. In other words, the bootstrap can be used to size-adjust the tests. |
| Subjects: | | vector autoregressive process vector error correction model bootstrap stability tests |
| JEL: | | C32 E41 E43 |
| Persistent Identifier of the first edition: | | urn:nbn:de:kobv:11-10048217 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Discussion Papers, SFB 373, HU Berlin
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