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Some tests for parameter constancy in cointegrated VAR-models
Henrik Hansen
,
Søren Johansen
Department of Economics
Development Economics Research Group
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Business & Economics
Parameter Constancy
100%
Vector Autoregressive Model
68%
Eigenvalues
46%
Treasury Securities
17%
Lagrange multipliers
15%
Term Structure of Interest Rates
14%
Asymptotic Distribution
14%
Fluctuations
13%
Short-run
9%
Evaluation
6%
United States of America
5%