He, Changli; Terasvirta, Timo; Gonzalez, Andres - In: Econometric Reviews 28 (2009) 1-3, pp. 225-245
In this article 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...