Breaks with VAR

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creagan52
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Joined: Fri Aug 02, 2019 1:27 am

Breaks with VAR

Postby creagan52 » Mon Aug 12, 2019 4:05 am

Hi - Does any one know of the best way to test for structural breaks when using VAR? I have used the QA or Chow test for OLS.

Is there a GH test option?
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