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Inconsistency of bootstrap for nonstationary, vector autoregressive processes

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  • Choi, In
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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.

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Bibliographic Info

Article provided by Elsevier in its journal Statistics & Probability Letters.

Volume (Year): 75 (2005)
Issue (Month): 1 (November)
Pages: 39-48

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Handle: RePEc:eee:stapro:v:75:y:2005:i:1:p:39-48

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Related research

Keywords: Bootstrap Nonstationary vector autoregression Causality test;

References

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  1. Atsushi Inoue & Lutz Kilian, 2000. "Bootstrapping Autoregressive Processes with Possible Unit Roots," Econometric Society World Congress 2000 Contributed Papers 0401, Econometric Society.
  2. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July.
  3. Choi, In, 2005. "Subsampling vector autoregressive tests of linear constraints," Journal of Econometrics, Elsevier, vol. 124(1), pages 55-89, January.
  4. Toda, Hiro Y & Phillips, Peter C B, 1993. "Vector Autoregressions and Causality," Econometrica, Econometric Society, vol. 61(6), pages 1367-93, November.
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