Analysis of co-explosive processes
AbstractA 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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Bibliographic InfoPaper provided by Economics Group, Nuffield College, University of Oxford in its series Economics Papers with number 2005-W08.
Length: 36 pages
Date of creation: 30 Mar 2005
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Web page: http://www.nuff.ox.ac.uk/economics/
Asymptotic normality; Co-explosiveness; Cointegration; Explosive processes; Hyper-inflation; Likelihood ratio tests; Vector autoregression;
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