Brüggemann, Ralf; Jentsch, Carsten; Trenkler, Carsten - Fachbereich Wirtschaftswissenschaften, Universität Konstanz - 2014
parameter estimators and address bootstrap inference as well. Our results are important for correct inference on VAR statistics … also show that wild and pairwise bootstrap schemes fail in the presence of conditional heteroskedasticity if inference on … moments' structure of the error terms. In contrast, the residual-based moving block bootstrap results in asymptotically valid …