VARs with Mixed Roots Near Unity
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More about this item
Keywords
Common roots; Local to unity; Mildly explosive; Mixed roots; Model selection; Persistence; Tests of common roots;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2012-01-18 (Econometrics)
- NEP-ETS-2012-01-18 (Econometric Time Series)
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