Inconsistency of bootstrap for nonstationary, vector autoregressive processes
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- Lenard Lieb & Stephan Smeekes, 2017.
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1709.09583, arXiv.org, revised Oct 2019.
- Lieb, Lenard & Smeekes, Stephan, 2017. "Inference for Impulse Responses under Model Uncertainty," Research Memorandum 022, Maastricht University, Graduate School of Business and Economics (GSBE).
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Keywords
Bootstrap Nonstationary vector autoregression Causality test;Statistics
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