HKUST Library Institutional Repository Banner

HKUST Institutional Repository >
Economics >
ECON Journal/Magazine Articles >

Please use this identifier to cite or link to this item:
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
Appears in Collections:ECON Journal/Magazine Articles

Files in This Item:

File Description SizeFormat
BootVAR4.pdfpre-published version131KbAdobe PDFView/Open

Find published version via OpenURL Link Resolver

All items in this Repository are protected by copyright, with all rights reserved.