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- Jä, Org Breitung, Norman R Swanson, Maike Burda, Clive W J Granger, Helmut Lä +1 other
- 1998

Large aggregation interval asymptotics are used to investigate the relation between Granger causality in disaggregated vector autoregressions (VARs) and associated contemporaneous correlation among innovations of the ag-gregated system. Our approach allows us to better understand the infor-mational content in non-diagonal error covariance matrices, which… (More)

Degenerate U-and V-statistics play an important role in the field of hypothesis testing since numerous test statistics can be formulated in terms of these quantities. Therefore, consistent bootstrap methods for U-and V-statistics can be applied in order to approximate critical values of those tests. First, we prove a new asymptotic result for degenerate… (More)

Knowledge about the distribution of a statistical estimator is important for various purposes, such as the construction of confidence intervals for model parameters or the determination of critical values of tests. A widely used method to estimate this distribution is the so-called boot-strap, which is based on an imitation of the probabilistic structure of… (More)

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