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What is Detecting Changes in VAR Covariance Matrix about?

The document discusses methods for detecting structural breaks in the variance-covariance matrix in vector autoregressive (VAR) models. It describes the cumulative sum (CUSUM) test, likelihood-ratio test (LRT), and Darling-Erdös-type test (DET) and provides the test statistics and asymptotic distributions for each. It also introduces the VARCP package in R that implements these tests and allows plotting the test statistics and estimating the most likely change point.

Author

AnarMasimov

Language

EN