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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
Asymptotic Distribution
14%
Eigenvalues
46%
Evaluation
6%
Fluctuations
13%
Lagrange multipliers
15%
Parameter Constancy
100%
Short-run
9%
Term Structure of Interest Rates
14%
Treasury Securities
17%
United States of America
5%
Vector Autoregressive Model
68%