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:||01 Mar 2005|
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Econometric Society, vol. 69(1), pages 211-19, January.
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"The Hyperinflation Model of Money Demand Revisited,"
CEPR Discussion Papers
473, C.E.P.R. Discussion Papers.
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2003-W11, Economics Group, Nuffield College, University of Oxford.
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Economics Working Papers
eco97/16, European University Institute.
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Economics Series Working Papers
2001-W10, University of Oxford, Department of Economics.
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