() and Timo Teräsvirta
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.
24 pages, First version: November 28, 2003. Revised: January 18, 2006.
Full text files
hastef0549.zip PKZip archive Program Files and Results
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 ().
This page generated on 2018-03-27 10:24:55.