Candelon, Bertrand; Cubadda, Gianluca - Centro di Studi Internazionali Sull'Economia e la … - 2006
This paper contributes to the econometric literature on structural breaks by proposing a test for parameter stability in VAR models at a particular frequency w, where w [0, p]. When a dynamic model is affected by a structural break, the new tests allow for detecting which frequencies of the data...