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http://hdl.handle.net/1783.1/2742
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| Title: | Inconsistency of bootstrap for nonstationary, vector autoregressive processes |
| Authors: | Choi, In |
| Keywords: | Bootstrap
Nonstationary vector autoregression
Causality test |
| Issue Date: | Nov-2005 |
| Citation: | Statistics and probability letters, v. 75, no. 1, Nov. 2005, p. 39-48 |
| Abstract: | Using a nonstationary, bivariate autoregressive process with iid innovations, this paper shows that the bootstrap vector autoregressive causality test is inconsistent in general in the sense that its weak limit is different from that of the original causality test. |
| Rights: | Statistics and probability letters © copyright (2006) Elsevier. The Journal's web site is located at http://www.sciencedirect.com/ |
| URI: | http://hdl.handle.net/1783.1/2742 |
| Appears in Collections: | ECON Journal/Magazine Articles
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Size | Format |
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| BootVAR4.pdf | pre-published version | 131Kb | Adobe PDF | View/Open |
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