Testing for Parameter Stability in Dynamic Models Across Frequencies
提出一种检验向量自回归模型在特定频率上参数稳定性的方法，帮助识别数据中哪些频率导致了参数不稳定，并应用于分析美国生产率放缓，发现局部稳定性仅存在于消费、投资和产出数据的高频部分。
Abstract This paper contributes to the econometric literature on structural breaks by proposing a test for parameter stability in vector autoregressive (VAR) models at a particular frequency ω , where ω ∈ [0, π ]. When a dynamic model is affected by a structural break, the new tests allow for detecting which frequencies of the data are responsible for parameter instability. If the model is locally stable at the frequencies of interest, the whole sample size can then be exploited despite the presence of a break. The methodology is applied to analyse the productivity slowdown in the US, and the outcome is that local stability concerns only the higher frequencies of data on consumption, investment and output.