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Bootstrap test of significance and sequential bootstrap estimation for unstable first order autoregressive processes

โœ Scribed by Basawa, I.V.; Mallik, A.K.; McCornick, W.P.; Reeves, J.H.; Taylor, R.L.

Book ID
120655858
Publisher
Taylor and Francis Group
Year
1991
Tongue
English
Weight
371 KB
Volume
20
Category
Article
ISSN
0361-0926

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We consider an r-dimensional multivariate time series [y t , t # Z] which is generated by an infinite order vector autoregressive process. We show that a bootstrap procedure which works by generating time series replicates via an estimated finite k-order vector autoregressive process (k ร„ at an appr