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Analysis Of Coexplosive Processes

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  • Nielsen, Bent

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.

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  • Nielsen, Bent, 2010. "Analysis Of Coexplosive Processes," Econometric Theory, Cambridge University Press, vol. 26(3), pages 882-915, June.
    • Handle: RePEc:cup:etheor:v:26:y:2010:i:03:p:882-915_99
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    References listed on IDEAS

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    1. Johansen, Soren & Schaumburg, Ernst, 1998. "Likelihood analysis of seasonal cointegration," Journal of Econometrics, Elsevier, vol. 88(2), pages 301-339, November.
    2. Bent Nielsen, 2000. "The Asymptotic Distribution of Likelihood Ratio Test Statistics for Cointegration in Unstable Vector Autoregressive Processes," Economics Series Working Papers 2000-W24, University of Oxford, Department of Economics.
    3. Taylor, Mark P, 1991. "The Hyperinflation Model of Money Demand Revisited," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 23(3), pages 327-351, August.
    4. Nielsen, Bent, 2001. "The Asymptotic Distribution of Unit Root Tests of Unstable Autoregressive Processes," Econometrica, Econometric Society, vol. 69(1), pages 211-219, January.
    5. 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.
    6. Bent Nielsen, 2006. "Correlograms for non-stationary autoregressions," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 68(4), pages 707-720.
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    1. Nielsen, Bent, 2010. "Analysis Of Coexplosive Processes," Econometric Theory, Cambridge University Press, vol. 26(03), pages 882-915, June.

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