In this paper, we develop a new asymptotic theory of the long run variance estimator obtained by fitting a vector autoregressive model to the transformed moment processes in a GMM framework. In contrast to the conventional asymptotics where the VAR lag order p goes to infinity but at a slower...

In this paper we introduce a bootstrap procedure to test parameter restrictions in vector autoregressive models which is robust in cases of conditionally heteroskedastic error terms. The adopted wild bootstrap method does not require any parametric specification of the volatility process and...