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.
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- Bent Nielsen, 2003.
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2003-W11, Economics Group, Nuffield College, University of Oxford.
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Economics Series Working Papers
2001-W10, University of Oxford, Department of Economics.
- Bent Nielsen, 2001. "Order determination in general vector autoregressions," Economics Papers 2001-W10, Economics Group, Nuffield College, University of Oxford.
- 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.
- Johansen, Soren & Schaumburg, Ernst, 1998.
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Elsevier, vol. 88(2), pages 301-339, November.
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