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Testing parameter constancy in unit root autoregressive models against continuous change

He, Changli (contributor); Sandberg, Rickard (contributor) - 2005 - [Elektronische Ressource], Rev. February 8, 2005

In this paper we derive tests for parameter constancy when the data generating process is non-stationary against the hypothesis that the parameters of the model change smoothly over time. To obtain the asymptotic distributions of the tests we generalize many theoretical results, as well as new...

Persistent link: https://www.econbiz.de/10002570513

Finite dimensional Markovian realizations for stochastic volatility forward rate models

Björk, Tomas (contributor); Landén, Camilla (contributor); … - 2002 - [Elektronische Ressource], This version: May 6, 2002

we use the previously developed Hilbert space realization theory in order provide general necessary and sufficent … the theory by analyzing a number of concrete examples. -- HJM models ; stochastic volatility ; factor models ; forward …

Persistent link: https://www.econbiz.de/10001664233

Numerical aspects of Bayesian VAR-modeling

Kadiyala, K. Rao; Karlsson, Sune - 1994

Persistent link: https://www.econbiz.de/10000885969

Determing the number of regimes in a threshold autoregressive model using smooth transition autoregressions

Strikholm, Birgit (contributor); … - 2005 - [Elektronische Ressource], Rev. February 11, 2005

transition autoregressive model are applied sequentially to determine the number of regimes. A simulation study is performed in … ; model selection criterion ; nonlinear modelling ; sequential testing ; switching regression …

Persistent link: https://www.econbiz.de/10002535492

Testing parameter constancy in stationary vector autoregressive models against continuous change

He, Changli (contributor); Teräsvirta, Timo (contributor); … - 2002 - [Elektronische Ressource], Rev. July 11, 2005

literature. An advantage here is that the asymptotic distribution theory is standard. The performance of the tests is compared to … that of generalized Chow-tests and found satisfactory in terms of both size and power. -- econometric modelling …