Inconsistency of bootstrap for nonstationary, vector autoregressive processes

DOI10.1016/j.spl.2005.05.020zbMath1123.62062OpenAlexW2003570730MaRDI QIDQ2575555

Yanyan Li

Publication date: 5 December 2005

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: http://repository.ust.hk/ir/bitstream/1783.1-2742/1/BootVAR4.pdf

zbMATH Keywords

bootstrapcausality testnonstationary vector autoregression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Brownian motion (60J65)

Related Items (1)

EMPIRICAL LIKELIHOOD TEST FOR CAUSALITY OF BIVARIATE AR(1) PROCESSES

Cites Work

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• Bootstrapping time series models
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• An invariance principle for the law of the iterated logarithm
• Bootstrapping Autoregressive Processes with Possible Unit Roots
• Least squares estimates in stochastic regression models with applications to identification and control of dynamic systems

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