Journal article
Analysis of coexplosive processes.
- Abstract:
- 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.
Actions
Access Document
- Files:
-
-
(Preview, pdf, 394.4KB, Terms of use)
-
- Publisher copy:
- 10.1017/S0266466609990144
Authors
- Publisher:
- Cambridge University Press
- Journal:
- Econometric theory More from this journal
- Volume:
- 26
- Issue:
- 3
- Pages:
- 882 - 915
- Publication date:
- 2010-01-01
- DOI:
- ISSN:
-
0266-4666
- Language:
-
English
- UUID:
-
uuid:5da75753-ffef-4be6-b79e-2edb5206548a
- Local pid:
-
oai:economics.ouls.ox.ac.uk:14854
- Deposit date:
-
2011-08-16
Terms of use
- Copyright date:
- 2010
If you are the owner of this record, you can report an update to it here: Report update to this record