Theorems are proved relating to the rate of almost sure convergence of autocovariances, and hence autocorrelations, to their true values. These rates are uniform in the lag up to some order P(T), ...

This is a preview. Log in through your library . Abstract An expression for the likelihood function of a stationary vector autoregressive-moving average process is developed. The expression is very ...

Bootstrap procedures for local projections typically rely on assuming that the data generating process (DGP) is a finite order vector autoregression (VAR), often taken to be that implied by the local ...