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Testing constancy of the error covariance matrix in vector models

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  • Eklund, Bruno
  • Terasvirta, Timo

Abstract

This paper contains a Lagrange multiplier test of the hypothesis that the covariance matrix of a multivariate time series model is constant over time. It is further assumed that under the alternative, the error variances are time-varying whereas the correlation remain constant over time. Under the parameterized alternative hypothesis the variance may change continuously as a function of time or some observable stochastic variables.
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  • Eklund, Bruno & Terasvirta, Timo, 2007. "Testing constancy of the error covariance matrix in vector models," Journal of Econometrics, Elsevier, vol. 140(2), pages 753-780, October.
    • Handle: RePEc:eee:econom:v:140:y:2007:i:2:p:753-780
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    Cited by:

    1. Silvennoinen, Annastiina & Teräsvirta, Timo, 2024. "Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model," Econometrics and Statistics, Elsevier, vol. 32(C), pages 57-72.
    2. Paul Catani & Timo Teräsvirta & Meiqun Yin, 2017. "A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 599-621, October.
    3. Kirstin Hubrich & Timo Teräsvirta, 2013. "Thresholds and Smooth Transitions in Vector Autoregressive Models," CREATES Research Papers 2013-18, Department of Economics and Business Economics, Aarhus University.
    4. Tomoaki Nakatani & Timo Terasvirta, 2009. "Testing for volatility interactions in the Constant Conditional Correlation GARCH model," Econometrics Journal, Royal Economic Society, vol. 12(1), pages 147-163, March.
    5. Yukai Yang, 2014. "Testing Constancy of the Error Covariance Matrix in Vector Models against Parametric Alternatives using a Spectral Decomposition," CREATES Research Papers 2014-11, Department of Economics and Business Economics, Aarhus University.
    6. Holt, Matthew T. & Teräsvirta, Timo, 2020. "Global hemispheric temperatures and co-shifting: A vector shifting-mean autoregressive analysis," Journal of Econometrics, Elsevier, vol. 214(1), pages 198-215.
    7. Catani, P.S. & Ahlgren, N.J.C., 2017. "Combined Lagrange multiplier test for ARCH in vector autoregressive models," Econometrics and Statistics, Elsevier, vol. 1(C), pages 62-84.
    8. Silvennoinen, Annastiina & Teräsvirta, Timo, 2024. "Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model," Econometrics and Statistics, Elsevier, vol. 32(C), pages 57-72.
    9. Jian Kang & Johan Stax Jakobsen & Annastiina Silvennoinen & Timo Teräsvirta & Glen Wade, 2022. "A Parsimonious Test of Constancy of a Positive Definite Correlation Matrix in a Multivariate Time-Varying GARCH Model," Econometrics, MDPI, vol. 10(3), pages 1-41, August.

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    More about this item

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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