Bootstrapping smooth functions of slope parameters and innovation variances in VAR() models

DOI10.1111/1468-2354.T01-1-00016MaRDI QIDQ6863780zbMATH OpenFDO

Authors Atsushi Inoue, Lutz Kilian

Publication date 4 February 2026

Published in International Economic Review (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1468-2354.T01-1-00016

Mathematics Subject Classification ID

Analysis of variance and covariance (ANOVA) (62J10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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