VARSTABILITY.RPF is an example of a Nyblom fluctuations test for a VAR. Note that a VAR has enough flexibility that it may be able to come up with a single set of estimates which can fit a set of data with a break sufficiently well that it passes a fluctuations test. (It may fit both subranges equally poorly).
Detailed Description
VARSTABILITY—Test of coefficient stability in VAR
VARSTABILITY—Test of coefficient stability in VAR
Last bumped by TomDoan on Mon Dec 30, 2024 9:40 am.