Some tests for parameter constancy in cointegrated VAR‐models

• 1 December 1999
• journal article
• Published by Oxford University Press (OUP) in The Econometrics Journal
• Vol. 2  (2) , 306-333
• https://doi.org/10.1111/1368-423x.00035

Abstract

Keywords

• COINTEGRATION
• EIGENVALUES
• FLUCTUATION TEST
• PARAMETER CONSTANCY