Inconsistency of bootstrap for nonstationary, vector autoregressive processes
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Recommendations
- Bootstrap in nonstationary autoregression.
- Bootstrap inference for nearly nonstationary autoregressive models with heavy-tailed innovations
- Stationary bootstrapping for non-parametric estimator of nonlinear autoregressive model
- Bootstrapping Autoregression under Non-stationary Volatility
- Properties of the nonparametric autoregressive bootstrap
- Bootstrap for random coefficient autoregressive models
Cites work
- scientific article; zbMATH DE number 3452925 (Why is no real title available?)
- An invariance principle for the law of the iterated logarithm
- Bootstrap test of significance and sequential bootstrap estimation for unstable first order autoregressive processes
- Bootstrapping Autoregressive Processes with Possible Unit Roots
- Bootstrapping time series models
- Bootstrapping unstable first-order autoregressive processes
- Investigating Causal Relations by Econometric Models and Cross-spectral Methods
- Least squares estimates in stochastic regression models with applications to identification and control of dynamic systems
- On asymptotic properties of bootstrap for AR(1) processes
- Subsampling
- Subsampling vector autoregressive tests of linear constraints
- Towards a unified asymptotic theory for autoregression
- Unit root bootstrap tests for AR (1) models
- Vector Autoregressions and Causality
Cited in
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