VARs with Mixed Roots Near Unity

Peter Phillips and Ji Hyung Lee

No 1845, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: Limit theory is developed for nonstationary vector autoregression (VAR) with mixed roots in the vicinity of unity involving persistent and explosive components. Statistical tests for common roots are examined and model selection approaches for discriminating roots are explored. The results are useful in empirical testing for multiple manifestations of nonstationarity -- in particular for distinguishing mildly explosive roots from roots that are local to unity and for testing commonality in persistence.

Keywords: Common roots; Local to unity; Mildly explosive; Mixed roots; Model selection; Persistence; Tests of common roots (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2012-01
New Economics Papers: this item is included in nep-ecm and nep-ets
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Published in Econometric Reviews (May 2015), 34(6-10): 1034-1055

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