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Prediction Tests for Structural Stability of Multiple Time Series

Helmut Lütkepohl
Journal of Business & Economic Statistics
Vol. 7, No. 1 (Jan., 1989), pp. 129-135
DOI: 10.2307/1391845
Stable URL: http://www.jstor.org/stable/1391845
Page Count: 7
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Prediction Tests for Structural Stability of Multiple Time Series
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Abstract

Comparing forecasts with actually observed values is one possible way to check the structural stability of time series. In this study, prediction tests based on this principle are investigated in the context of multiple time series analysis. It is found that the power of tests based on univariate series may exceed that of tests based on multivariate series and vice versa. Therefore, it is proposed to use both kinds of tests in practice. The tests are used to investigate the stability of a system of West German economic data during and after the 1973-1974 and 1979-1980 oil price increases.

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