Template-type: ReDif-Paper 1.0
Author-Name: Candelon Bertrand
Author-Name: Cubadda Gianluca 
Author-workplace-name: METEOR
Title: Testing for Parameter Stability in Dynamic Models across Frequencies
Abstract: This paper contributes to the econometric literature on structural breaks by proposing a test for parameter stability in VAR models at a particular frequency 'omega', where 'omega is an element of [0, pi]'.When a dynamic model is affected by a structural break, the new tests allow for detecting which frequencies of the data are responsible for parameter instability. If the model is locally stable at the frequencies of interest, the whole sample size can be then exploited despite the presence of a break. Two empirical examples illustrate that local instability can concern only the lower frequencies (decrease in the postwar U.S. productivity) or higher frequencies(change in the U.S. monetary policy in the early 80's).
Keywords: econometrics; 
Series: Research Memoranda
Creation-Date: 2005
Number: 022
File-URL: http://digitalarchive.maastrichtuniversity.nl/fedora/objects/guid:207e01e2-dcb3-46a3-8dc1-93aa4af97eec/datastreams/ASSET1/content
File-Format: application/pdf
File-Size: 250315
Handle: RePEc:unm:umamet:2005022