The authors propose the information matrix test to assess the constancy of mean and variance parameters in vector autoregressions (VAR). They additively decompose it into several orthogonal components: conditional heteroskedasticity and asymmetry of the innovations, and their unconditional skewness and kurtosis. Their Monte Carlo simulations explore both its finite size properties and its power against i.i.d. coefficients, persistent but stationary ones, and regime switching. Their procedures detect variation in the autoregressive coefficients and residual covariance matrix of a VAR for the US GDP growth rate and the statistical discrepancy, but they fail to detect any covariation between those two sets of coefficients.

Tests for Random Coefficient Variation in Vector Autoregressive Models / Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique. - STAMPA. - (2022), pp. 1-35. [10.1108/S0731-90532022000044B001]

Tests for Random Coefficient Variation in Vector Autoregressive Models

Amengual, Dante;Fiorentini, Gabriele;
2022

Abstract

The authors propose the information matrix test to assess the constancy of mean and variance parameters in vector autoregressions (VAR). They additively decompose it into several orthogonal components: conditional heteroskedasticity and asymmetry of the innovations, and their unconditional skewness and kurtosis. Their Monte Carlo simulations explore both its finite size properties and its power against i.i.d. coefficients, persistent but stationary ones, and regime switching. Their procedures detect variation in the autoregressive coefficients and residual covariance matrix of a VAR for the US GDP growth rate and the statistical discrepancy, but they fail to detect any covariation between those two sets of coefficients.
978-1-80382-832-9
978-1-80382-831-2
Essays in honor of Fabio Canova: Advances in Business Cycle Analysis, Structural Modeling and VAR Estimation
1
35
Goal 8: Decent work and economic growth
Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2158/1282213
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