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Please use this identifier to cite or link to this item: http://hdl.handle.net/2108/358

Title: Testing for parameter stability in dynamic models across frequencies
Authors: Candelon, Bertrand
Cubadda, Gianluca
Keywords: structural breaks
spectral analysis
productivity slowdown
yield curve
Issue Date: May-2006
Publisher: CEIS
Series/Report no.: CEIS Tor Vergata Research Paper; 82
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 ω, where ω ∈ [0, π]. 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 stability can concern only the lower frequencies (change in the U.S. monetary policy in the early 80'(s) or higher frequencies (decrease in the postwar U.S. productivity).
URI: http://ssrn.com/abstract=905285
http://hdl.handle.net/2108/358
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