Block Bootstrap Theory for Multivariate Integrated and Cointegrated Processes
نویسندگان
چکیده
منابع مشابه
Block Bootstrap Theory for Multivariate Integrated and Cointegrated Processes
We develop some asymptotic theory for applications of block bootstrap resampling schemes to multivariate integrated and cointegrated time series. It is proved that a multivariate, continuous-path block bootstrap scheme applied to a full rank integrated process, succeeds in estimating consistently the distribution of the least squares estimators in both, the regression and the spurious regressio...
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ژورنال
عنوان ژورنال: Journal of Time Series Analysis
سال: 2014
ISSN: 0143-9782
DOI: 10.1111/jtsa.12088