Analysis Of Coexplosive Processes
A vector autoregressive model allowing for unit roots as well as an explosive characteristic root is developed. The Granger-Johansen representation shows that this results in processes with two common features: a random walk and an explosively growing process. Cointegrating and coexplosive vectors can be found that eliminate these common factors. The likelihood ratio test for a simple hypothesis on the coexplosive vectors is analyzed. The method is illustrated using data from the extreme Yugoslavian hyperinflation of the 1990s.
Volume (Year): 26 (2010)
Issue (Month): 03 (June)
|Contact details of provider:|| Postal: |
Web page: http://journals.cambridge.org/jid_ECT
References listed on IDEAS
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.:
- 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," Economics Papers 2001-W10, Economics Group, Nuffield College, University of Oxford.
- Taylor, Mark P, 1990.
"The Hyperinflation Model of Money Demand Revisited,"
CEPR Discussion Papers
473, C.E.P.R. Discussion Papers.
- 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.
- 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.
- 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.
- Nielsen, Bent, 2001. "The Asymptotic Distribution of Unit Root Tests of Unstable Autoregressive Processes," Econometrica, Econometric Society, vol. 69(1), pages 211-19, January.
When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:26:y:2010:i:03:p:882-915_99. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.