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Obtaining reliable inference procedures is one of the main challenges of econometric research. Test statistics are usually based on applications of the central limit theorem. However, in order to work well the first order asymptotic approximation requires that the asymptotic distribution is an accurate approximation to the finite sample distribution. When dealing with time series models, this is not generally the case. In this book we investigate the small sample performance of various bootstrap based inference procedures when applied to vector autoregressive models. Special attention is...

This book examines conventional time series in the context of stationary data prior to a discussion of cointegration, with a focus on multivariate models.

This book examines conventional time series in the context of stationary data prior to a discussion of cointegration, with a focus on multivariate models.