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Analysis of co-explosive processes

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Author Info
Bent Nielsen () (Nuffield College, Oxford)

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Abstract

A vector autoregressive model allowing for unit roots as well as explosive characteristic roots is developed. The Granger-Johansen representation shows that this results in processes with two common features: a random walk and an explosively growing process. Co-integrating and co-explosive vectors can be found which eliminate these common factors. Likelihood ratio tests for linear restrictions on the co-explosive vectors are derived. As an empirical illustration the method is applied to data from the extreme Yugoslavian hyper-inflation of the 1990s.

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File URL: http://www.nuffield.ox.ac.uk/economics/papers/2005/w8/explosive.pdf
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Publisher Info
Paper provided by Economics Group, Nuffield College, University of Oxford in its series Economics Papers with number 2005-W08.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length: 36 pages
Date of creation: 30 Mar 2005
Date of revision:
Handle: RePEc:nuf:econwp:0508

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Web page: http://www.nuff.ox.ac.uk/economics/

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Related research
Keywords: Asymptotic normality Co-explosiveness Cointegration Explosive processes Hyper-inflation Likelihood ratio tests Vector autoregression

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  1. Johansen, Soren & Schaumburg, Ernst, 1998. "Likelihood analysis of seasonal cointegration," Journal of Econometrics, Elsevier, vol. 88(2), pages 301-339, November. [Downloadable!] (restricted)
    Other versions:
  2. Taylor, Mark P, 1991. "The Hyperinflation Model of Money Demand Revisited," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 23(3), pages 327-51, August. [Downloadable!] (restricted)
    Other versions:
  3. Nielsen, Bent, 2001. "The Asymptotic Distribution of Unit Root Tests of Unstable Autoregressive Processes," Econometrica, Econometric Society, vol. 69(1), pages 211-19, January.
  4. Bent Nielsen, 2003. "Correlograms for non-stationary autoregressions," Economics Papers 2003-W11, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
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  5. Katarina Juselius & Zorica Mladenovic, 2002. "High Inflation, Hyperinflation and Explosive Roots. The Case of Yugoslavia," Discussion Papers 02-23, University of Copenhagen. Department of Economics. [Downloadable!]
  6. Bent Nielsen, 2001. "Order determination in general vector autoregressions," Economics Papers 2001-W10, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
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