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Title:On the reliability of chow type test for parameter constancy in multivariate dynamic models PDF Logo
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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