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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
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
Date of revision:
Contact details of provider:
Web page: http://www.nuff.ox.ac.uk/economics/
Asymptotic normality; Co-explosiveness; Cointegration; Explosive processes; Hyper-inflation; Likelihood ratio tests; Vector autoregression;
Other versions of this item:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Bent Nielsen, 2006.
"Correlograms for non-stationary autoregressions,"
Journal of the Royal Statistical Society Series B,
Royal Statistical Society, vol. 68(4), pages 707-720.
- Bent Nielsen, 2003. "Correlograms for non-stationary autoregressions," Economics Papers 2003-W11, Economics Group, Nuffield College, University of Oxford.
- Bent Nielsen, 2003. "Correlograms for non-stationary autoregressions," Economics Series Working Papers 2003-W11, University of Oxford, Department of Economics.
- Bent Nielsen, 1999.
"The Asymptotic Distribution of Unit Root Tests of Unstable Autoregressive Processes,"
Economics Series Working Papers
1999-W19, University of Oxford, Department of Economics.
- Nielsen, Bent, 2001. "The Asymptotic Distribution of Unit Root Tests of Unstable Autoregressive Processes," Econometrica, Econometric Society, vol. 69(1), pages 211-19, January.
- 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.
- Taylor, Mark P, 1990. "The Hyperinflation Model of Money Demand Revisited," CEPR Discussion Papers 473, C.E.P.R. Discussion Papers.
- Johansen, Soren & Schaumburg, Ernst, 1998.
"Likelihood analysis of seasonal cointegration,"
Journal of Econometrics,
Elsevier, vol. 88(2), pages 301-339, November.
- Bent Nielsen, 2001.
"Order determination in general vector autoregressions,"
2001-W10, Economics Group, Nuffield College, University of Oxford.
- Bent Nielsen, 2001. "Order determination in general vector autoregressions," Economics Series Working Papers 2001-W10, University of Oxford, Department of Economics.
- Bent Nielsen, 2004. "On the Distribution of Likelihood Ratio Test Statistics for Cointegration Rank," Econometric Reviews, Taylor & Francis Journals, vol. 23(1), pages 1-23.
- Roberto Esposti & Giulia Listorti, 2013.
"Agricultural price transmission across space and commodities during price bubbles,"
International Association of Agricultural Economists, vol. 44(1), pages 125-139, 01.
- Esposti, Roberto & Listorti, Giulia, 2011. "Agricultural Price Transmission Across Space and Commodities During Price Bubbles," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 114338, European Association of Agricultural Economists.
- Roberto ESPOSTI & Giulia LISTORTI, 2011. "Agricultural Price Transmission Across Space and Commodities During Price Bubbles," Working Papers 367, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
- B. Nielsen, 2009. "Test for cointegration rank in general vector autoregressions," Economics Papers 2009-W10, Economics Group, Nuffield College, University of Oxford.
- Hui Liu & Gabriel Rodriguez, 2003.
"Human Activities and Global Warming: A Cointegration Analysis,"
0307E, University of Ottawa, Department of Economics.
- Liu, Hui & Rodríguez, Gabriel, 2005. "Human activities and global warming: a cointegration analysis," MPRA Paper 9939, University Library of Munich, Germany.
- Xiaohu Wang & Jun Yu, 2013. "Limit Theory for an Explosive Autoregressive Process," Working Papers 08-2013, Singapore Management University, School of Economics.
- Listorti, Giulia & Esposti, Roberto, 2012. "Horizontal Price Transmission in Agricultural Markets: Fundamental Concepts and Open Empirical Issues," Bio-based and Applied Economics Journal, Italian Association of Agricultural and Applied Economics (AIEAA), issue 1, April.
- Nielsen, Bent, 2008.
"On the Explosive Nature of Hyper-Inflation Data,"
Economics Discussion Papers
2008-9, Kiel Institute for the World Economy.
- Nielsen, Bent, 2008. "On the Explosive Nature of Hyper-Inflation Data," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 2(21), pages 1-29.
- Bjørnar Karlsen Kivedal, 2012. "Testing for rational bubbles in the housing market," Working Paper Series 13312, Department of Economics, Norwegian University of Science and Technology.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Maxine Collett).
If references are entirely missing, you can add them using this form.