Inconsistency of bootstrap for nonstationary, vector autoregressive processes
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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Volume (Year): 75 (2005)
Issue (Month): 1 (November)
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References listed on IDEAS
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- Atsushi Inoue & Lutz Kilian, 2002.
"Bootstrapping Autoregressive Processes with Possible Unit Roots,"
Econometric Society, vol. 70(1), pages 377-391, January.
- Atsushi Inoue & Lutz Kilian, 2000. "Bootstrapping Autoregressive Processes with Possible Unit Roots," Econometric Society World Congress 2000 Contributed Papers 0401, Econometric Society.
- 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.
- Toda, Hiro Y & Phillips, Peter C B, 1993.
"Vector Autoregressions and Causality,"
Econometric Society, vol. 61(6), pages 1367-93, November.
- Choi, In, 2005. "Subsampling vector autoregressive tests of linear constraints," Journal of Econometrics, Elsevier, vol. 124(1), pages 55-89, January.
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