Analysis of co-explosive processes

Bent Nielsen

No 2005-W08, Economics Papers from Economics Group, Nuffield College, University of Oxford

Abstract: 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.

Keywords: Asymptotic normality; Co-explosiveness; Cointegration; Explosive processes; Hyper-inflation; Likelihood ratio tests; Vector autoregression (search for similar items in EconPapers)
Pages: 36 pages
Date: 2005-03-30
New Economics Papers: this item is included in nep-ets
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Citations: View citations in EconPapers (9)

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Related works:
Journal Article: ANALYSIS OF COEXPLOSIVE PROCESSES (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:nuf:econwp:0508

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