Analysis of co-explosive processes
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.
|Date of creation:||30 Mar 2005|
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2003-W11, Economics Group, Nuffield College, University of Oxford.
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Blackwell Publishing, vol. 23(3), pages 327-51, August.
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