Inconsistency of bootstrap for nonstationary, vector autoregressive processes
AbstractUsing 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 75 (2005)
Issue (Month): 1 (November)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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Econometric Society World Congress 2000 Contributed Papers
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