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 ...

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 ...

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), ...