He, Changli (contributor); Teräsvirta, Timo (contributor); … - 2002 - [Elektronische Ressource], Rev. July 11, 2005
In this paper we derive a parameter constancy test of a stationary vector autoregressive model against the hypothesis that the parameters of the model change smoothly over time. A single structural break is contained in this alternative hypothesis as a special case. The test is a generalization...
