Testing constancy of the error covariance matrix in vector models

This paper contains a Lagrange multiplier test of the hypothesis that the covariance matrix of a multivariate time series model is constant over time. It is further assumed that under the alternative, the error variances are time-varying whereas the correlation remain constant over time. Under the parameterized alternative hypothesis the variance may change continuously as a function of time or some observable stochastic variables.

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Year of publication:	2003-11-28
Authors:	Eklund, Bruno ; Teräsvirta, Timo
Institutions:	Economics Institute for Research (SIR), Handelshögskolan i Stockholm
Subject:	error covariance structure \| Lagrange multiplier test \| model misspecification \| Monte Carlo simulation

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Extent:	application/zip
Series:	SSE/EFI Working Paper Series in Economics and Finance.
Type of publication:	Book / Working Paper
Notes:	Published in Journal of Econometrics, 2007, pages 753-780. The text is part of a series SSE/EFI Working Paper Series in Economics and Finance Number 549 24 pages
Classification:	C32 - Time-Series Models ; C52 - Model Evaluation and Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005190819