SSE/EFI Working Paper Series in Economics and Finance
No 549:
Testing constancy of the error covariance matrix in vector models
Bruno Eklund ()
and Timo Teräsvirta ()
Abstract: This paper contains a Lagrange multiplier test of the
hypothesis that the covariance matrix of a multivariate time series model
is constant over time. It is further assumed that under the alternative,
the error variances are time-varying whereas the correlation remain
constant over time. Under the parameterized alternative hypothesis the
variance may change continuously as a function of time or some observable
stochastic variables.
Keywords: error covariance structure; Lagrange multiplier test; model misspecification; Monte Carlo simulation; (follow links to similar papers)
JEL-Codes: C32; C52; (follow links to similar papers)
24 pages, November 28, 2003, Revised January 18, 2006
Before downloading any of the electronic versions below
you should read our statement on
copyright.
Download GhostScript
for viewing Postscript files and the
Acrobat Reader for viewing and printing pdf files.
Files with additional material for the paper:
hastef0549.zip Program Files and Results, PKZip archive (247kB)
Download Statistics
- This paper is published as:
-
Eklund, Bruno and Timo Teräsvirta, (2007), 'Testing constancy of the error covariance matrix in vector models', Journal of Econometrics, Vol. 140, pages 753-780
Questions (including download problems) about the papers in this series should be directed to Helena Lundin ()
Report other problems with accessing this service to Sune Karlsson ()
or Helena Lundin ().
Programing by
Design by Joachim Ekebom
