Testing for parameter instability and structural change in persistent predictive regressions

Autor: Rasmus T. Varneskov, Torben G. Andersen

Publikováno v: Andersen, T G & Varneskov, R T 2022, ' Testing for parameter instability and structural change in persistent predictive regressions ', Journal of Econometrics, vol. 231, no. 2, pp. 361-386 . https://doi.org/10.1016/j.jeconom.2021.05.011

This paper develops parameter instability and structural change tests within predictive regressions for economic systems governed by persistent vector autoregressive dynamics. Specifically, in a setting where all – or a subset – of the variables

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https://doi.org/10.1016/j.jeconom.2021.05.011