Please use this identifier to cite or link to this item: http://hdl.handle.net/1783.1/2742

Inconsistency of bootstrap for nonstationary, vector autoregressive processes

Authors Choi, I
Issue Date 2005
Source Statistics & probability letters , v. 75, (1), 1, November, 2005, p. 39-48
Summary 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. (c) 2005 Elsevier B.V. All rights reserved.
Subjects
ISSN 0167-7152
Rights Statistics and probability letters © copyright (2006) Elsevier. The Journal's web site is located at http://www.sciencedirect.com/
Language English
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