change in Correlation Structure

Questions and discussions on Vector Autoregressions
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AhmedSahlool
Posts: 78
Joined: Tue Jul 05, 2011 5:57 am

change in Correlation Structure

Unread post by AhmedSahlool »

Hi,

I would like to know: how could I apply the test of no change in the correlation structure "principle components decomposition", of the covariance matrix, second table of lanne_lutkepohl paper.

Thank you
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