In this paper, we study the degree of business cycle synchronization by means of a small sample version of the Harding and Pagan's ["Journal of Econometrics" (2006) Vol. 132, pp. 59-79] Generalized Method of Moment test. We show that the asymptotic version of the test gets increasingly distorted...

This paper contributes to the econometric literature on structural breaks by proposing a test for parameter stability in vector autoregressive (VAR) models at a particular frequency "ω", where "ω"  is an element of  [0, "π"]. When a dynamic model is affected by a structural break, the...

The performance of information criteria and tests for residual heteroscedasticity for choosing between different models for time-varying volatility in the context of structural vector autoregressive analysis is investigated. Although it can be difficult to find the true volatility model with the...

Johansen's reduced-rank maximum likelihood (ML) estimator for cointegration parameters in vector error correction models is known to produce occasional extreme outliers. Using a small monetary system and German data we illustrate the practical importance of this problem. We also consider an...