Please use this identifier to cite or link to this item:

Inconsistency of bootstrap for nonstationary, vector autoregressive processes

Authors Choi, I. HKUST affiliated (currently or previously)
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.
ISSN 0167-7152
Rights Statistics and probability letters © copyright (2006) Elsevier. The Journal's web site is located at
Language English
Format Article
Access View full-text via DOI
View full-text via Web of Science
View full-text via Scopus
Files in this item:
File Description Size Format
BootVAR4.pdf 134692 B Adobe PDF