| Magazines |
6(2013), Issue 4, pp 499-509. |
| Author | Ying Chen, Bo Li, Linlin Niu |
| Content | Our proposed local vector autoregressive (LVAR) model has time-varying parameters that allow it to be safely used in both stationary and non-stationary situations. The estimation is conducted over an interval of local homogeneity where the parameters are approximately constant. The local interval is identified in a sequential testing procedure. Numerical analysis and real data application are conducted to illustrate the monitoring function and forecast performance of the proposed model. |
| JEL-Codes | C32, C53, E43, E47 |
| Keywords | Adaptive estimation; Multivariate time series; Non-stationarity; Yield curve. |
