Scandinavian Working Papers in Economics

SSE/EFI Working Paper Series in Economics and Finance,
Stockholm School of Economics

No 549: Testing constancy of the error covariance matrix in vector models

Bruno Eklund () and Timo Teräsvirta ()
Additional contact information
Bruno Eklund: Dept. of Economic Statistics, Stockholm School of Economics, Postal: Stockholm School of Economics, P.O. Box 6501, SE-113 83 Stockholm, Sweden
Timo Teräsvirta: Dept. of Economic Statistics, Stockholm School of Economics, Postal: Stockholm School of Economics, P.O. Box 6501, SE-113 83 Stockholm, Sweden

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

JEL-codes: C32; C52

24 pages, First version: November 28, 2003. Revised: January 18, 2006.

Full text files 

hastef0549.zip PKZip archive Program Files and Results

Download statistics

Published as
Bruno Eklund 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 ().

RePEc:hhs:hastef:0549This page generated on 2024-09-13 22:15:06.