VARs with Mixed Roots Near Unity
Limit theory is developed for nonstationary vector autoregression (VAR) with mixed roots in the vicinity of unity involving persistent and explosive components. Statistical tests for common roots are examined and model selection approaches for discriminating roots are explored. The results are useful in empirical testing for multiple manifestations of nonstationarity -- in particular for distinguishing mildly explosive roots from roots that are local to unity and for testing commonality in persistence.
|Date of creation:||Jan 2012|
|Publication status:||Published in Econometric Reviews (May 2015), 34(6-10): 1034-1055|
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|Order Information:|| Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA|
References listed on IDEAS
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- Xu Cheng & P eter C. B. Phillips, 2009.
"Semiparametric cointegrating rank selection,"
Royal Economic Society, vol. 12(s1), pages 83-104, 01.
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- Peter C.B. Phillips & Tassos Magdalinos, 2004.
"Limit Theory for Moderate Deviations from a Unit Root,"
Cowles Foundation Discussion Papers
1471, Cowles Foundation for Research in Economics, Yale University.
- Phillips, Peter C.B. & Magdalinos, Tassos, 2007. "Limit theory for moderate deviations from a unit root," Journal of Econometrics, Elsevier, vol. 136(1), pages 115-130, January.
- Leeb, Hannes & P tscher, Benedikt M., 2005. "Model Selection And Inference: Facts And Fiction," Econometric Theory, Cambridge University Press, vol. 21(01), pages 21-59, February.
- Magdalinos, Tassos & Phillips, Peter C.B., 2009. "Limit Theory For Cointegrated Systems With Moderately Integrated And Moderately Explosive Regressors," Econometric Theory, Cambridge University Press, vol. 25(02), pages 482-526, April.
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