A note on testing parameter constancy in cointegrated vector autoregression: the case of near I(2) processes

This note investigates the behaviour of a parameter-constancy test statistic when near I(2) (integrated of order 2) variables are incorporated in a cointegrated vector autoregressive system. Simulation studies indicate that the presence of such variables has a significant impact on size properties of the constancy test.

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Year of publication:	2009
Authors:	Kurita, Takamitsu
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 29.2009, 2, p. 575-587
Publisher:	AccessEcon
Subject:	Parameter Constancy \| Cointegraed Vector Autoregression \| Near I(2) Variable

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	C3 - Econometric Methods: Multiple/Simultaneous Equation Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008562826