Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5096420 | Journal of Econometrics | 2011 | 11 Pages |
Abstract
In this paper, a bootstrap algorithm for a reduced rank vector autoregressive (VAR) model which also includes stationary regressors, is analyzed. It is shown that the bootstrap distribution for estimating the rank converges to the distribution derived from the usual asymptotic framework. Because the asymptotic distribution will typically depend on unknown parameters, bootstrap distributions are of considerable interest in this context. The result of an application and some Monte Carlo experiments are also presented.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Anders Rygh Swensen,