change in Correlation Structure

Questions and discussions on Vector Autoregressions

change in Correlation Structure

Postby AhmedSahlool » Wed Apr 18, 2012 5:33 am

Hi,

I would like to know: how could I apply the test of no change in the correlation structure "principle components decomposition", of the covariance matrix, second table of lanne_lutkepohl paper.

Thank you
AhmedSahlool
 
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