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Persistent link: https://www.econbiz.de/10005204015
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...
Persistent link: https://www.econbiz.de/10010574068