Inconsistency of bootstrap for nonstationary, vector autoregressive processes
In Choi ()
Statistics & Probability Letters, 2005, vol. 75, issue 1, 39-48
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.
Keywords: Bootstrap; Nonstationary; vector; autoregression; Causality; test (search for similar items in EconPapers)
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