文章基本信息

标题：A note on testing parameter constancy in cointegrated vector autoregression: the case of near I(2) processes
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作者：Takamitsu Kurita
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2009
卷号：29
期号：2
页码：575-587
出版社：Economics Bulletin
摘要：This note investigates the behaviour of a parameter-constancy test statistic when near I(2) (integrated of order 2) variables are incorporated in a cointegrated vector autoregressive system. Simulation studies indicate that the presence of such variables has a significant impact on size properties of the constancy test