Testing constancy of the error covariance matrix in vector models
نویسندگان
چکیده
منابع مشابه
Testing Constancy of the Error Covariance Matrix in Vector Models Against Parametric Alternatives Using a Spectral Decomposition
I consider multivariate (vector) time series models in which the error covariance matrix may be time-varying. I derive a test of constancy of the error covariance matrix against the alternative that the covariance matrix changes over time. I design a new family of Lagrange-multiplier tests against the alternative hypothesis that the innovations are time-varying according to several parametric s...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2007
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2006.07.012