Several nonlinear time series models have been proposed in the literature to explain various empirical nonlinear features of many observed financial and economic time series. One model that has gained ...

We study the relationship between vector autoregressive moving-average (VARMA) and factor representations of a vector stochastic process. We observe that, in general, vector time series and factors ...

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 ...