Parameter stability test of VAR parameters

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ecrgap
Posts: 36
Joined: Mon May 25, 2009 10:24 am

Parameter stability test of VAR parameters

Unread post by ecrgap »

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.
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TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: Parameter stability test of VAR parameters

Unread post by TomDoan »

See Bai, Lumsdaine and Stock(1998).
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