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CVSTABTEST—Test for stability in a covariance matrix

Posted: Mon May 08, 2023 8:31 am
by TomDoan
@CVStabTest performs the special case of the stability test in Nyblom(1989) for a complete covariance matrix, so the null is that the covariance matrix of the series is constant vs an alternative of a structural break at some point in the sample. It takes a set of residuals as input.

Detailed description