Test for parameter stability in a VEC-model

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niels
Posts: 14
Joined: Mon Nov 10, 2008 1:30 am

Test for parameter stability in a VEC-model

Postby niels » Sat Nov 15, 2008 4:05 am

Hi !

I have estimated a VEC-model, and now I would like to do a test for parameter stability (like forward and backward recursive tests of constancy (described in Juselius 2006) or CUSUM test). Under Eviews help topics I can only find tests for misspecification. Is there anyone who can help me :D

Thanks anyway

Niels Mellemgaard
student in economics
Denmark

samijo
Posts: 37
Joined: Thu Sep 18, 2008 12:15 pm
Location: CO. USA

Re: Test for parameter stability in a VEC-model

Postby samijo » Sun Nov 16, 2008 11:52 pm

In the VAR estimation windows click on (Views> Lag Structure> AR Roots Table) to test for stability and can also use (AR Roots Graph) for the same purpose.

niels
Posts: 14
Joined: Mon Nov 10, 2008 1:30 am

Re: Test for parameter stability in a VEC-model

Postby niels » Mon Nov 17, 2008 1:51 pm

Thanks for your advice.

Niels


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