Some tests for parameter constancy in cointegrated VAR-models
Some tests for parameter constancy in cointegrated VAR-models
复制标题
协整 VAR 模型中参数稳定性的一些检验
DOI：
10.1111/1368-423x.00035
复制
发表时间：
1999
影响因子：
1.9
通讯作者：
["Henrik Hansen
中科院分区：
文献类型：
--
作者：
["Henrik Hansen
讨论了协整向量自回归(VAR)模型参数平稳性的几种估计方法。提出了两种不同的重新估计VAR模型的方法：一种是根据第一个观测值的似然函数递归估计所有参数；另一种是根据似然函数递归估计协整关系，其中短期参数已经集中。我们提出了基于递归估计特征值的图解方法来评估模型中长期参数的不变性。具体地说，我们使用一个关于估计特征值的渐近分布的新结果来研究特征值的时间路径。此外，我们还证明了Ploberger等人的波动检验。(1989)和Nyblom(1989)的拉格朗日乘数(Lm)型参数不变性检验可以用来检验协整VAR模型中长期参数的不变性。所有结果都是用美国国债利率期限结构的模型来说明的。
Some methods for the evaluation of parameter constancy in cointegrated vector autoregressive (VAR) models are discussed. Two different ways of re-estimating the VAR-model are proposed; one in which all parameters are estimated recursively based upon the likelihood function for the first observations, and another in which the cointegrating relations are estimated recursively from a likelihood function, where the short-run parameters have been concentrated out. We suggest graphical procedures based on recursively estimated eigenvalues to evaluate the constancy of the long-run parameters in the model. Specifically, we look at the time paths of the eigenvalues using a new result on the asymptotic distribution of the estimated eigenvalues. Furthermore, we show that the fluctuation test by Ploberger et al. (1989) and the Lagrange multiplier (LM) type test for constancy of parameters by Nyblom (1989) can be applied to test the constancy of the long-run parameters in the cointegrated VAR-model. All results are illustrated using a model for the term structure of interest rates on US Treasury securities.