On the reliability of Chow-type tests for parameter constancy in multivariate dynamic models

By B. Candelon, Helmut Lütkepohl. 2001

147 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/d0072a61d44257e682343094751db0e21d5ebe71

Citations in the corpus

Identifying Monetary Policy Shocks Via Changes in Volatility (2008, unknown): “Its small sample properties may not be ideal, as pointed out by Candelon and Lütkepohl (2001).”