Kao, Chihwa; Trapani, Lorenzo; Urga, Giovanni - Center for Policy Research, Maxwell School - 2012
We propose a test for the stability over time of the covariance matrix of multivariate time series. The analysis is extended to the eigensystem to ascertain changes due to instability in the eigenvalues and/or eigenvectors. Using strong Invariance Principle and Law of Large Numbers, we normalize...