Parameter stability test of VAR parameters
Posted: Fri Nov 26, 2010 12:10 pm
Hi all,
I was wondering if there is a procedure in RATS to perform the VAR parameters stability test of Bai, Lumsdaine and Stock (1998, ''Testing for and Dating Common Breaks in Multivariate Time Series'').
Thank you very much in advance.
I was wondering if there is a procedure in RATS to perform the VAR parameters stability test of Bai, Lumsdaine and Stock (1998, ''Testing for and Dating Common Breaks in Multivariate Time Series'').
Thank you very much in advance.