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Takamitsu Kurita
''A note on testing parameter constancy in cointegrated vector autoregression: the case of near I(2) processes''
( 2009, Vol. 29 No.2 )
This note investigates the behaviour of a parameter-constancy test statistic when near I(2) (integrated of order 2) variables are incorporated in a cointegrated vector autoregressive system. Simulation studies indicate that the presence of such variables has a significant impact on size properties of the constancy test.
Keywords: Parameter Constancy, Cointegraed Vector Autoregression, Near I(2) Variable.
JEL: C3 - Time-Series Models
C3 - Multiple or Simultaneous Equation Models: All other
Manuscript Received : Feb 15 2009 Manuscript Accepted : Apr 13 2009

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