Inconsistency of bootstrap for nonstationary, vector autoregressive processes

DOI10.1016/J.SPL.2005.05.020zbMATH Open1123.62062OpenAlexW2003570730MaRDI QIDQ2575555FDOQ2575555

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)

Cites Work

• Subsampling
• Bootstrapping unstable first-order autoregressive processes
• Towards a unified asymptotic theory for autoregression
• 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
• Subsampling vector autoregressive tests of linear constraints
• Vector Autoregressions and Causality
• Bootstrap test of significance and sequential bootstrap estimation for unstable first order autoregressive processes
• An invariance principle for the law of the iterated logarithm
• Bootstrapping Autoregressive Processes with Possible Unit Roots
• Title not available (Why is that?)
• Bootstrapping time series models
• On asymptotic properties of bootstrap for AR(1) processes
• Unit root bootstrap tests for AR (1) models

Cited In (2)

• Inconsistency of bootstrap: the Grenander estimator
• Empirical likelihood test for causality of bivariate AR(1) processes

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