Inconsistent VAR regression with common explosive roots
Phillips, Peter C. B.
Inconsistent VAR regression with common explosive roots created by Peter C. B. Phillips and Tassos Magdalinos - Econometric Theory Volume 29, number 4 .
Nielsen (Working paper, University of Oxford, 2009) shows that vector autoregression is inconsistent when there are common explosive roots with geometric multiplicity greater than unity. This paper discusses that result, provides a coexplosive system extension and an illustrative example that helps to explain the finding, gives a consistent instrumental variable procedure, and reports some simulations. Some exact limit distribution theory is derived and a useful new reverse martingale central limit theorem is proved
02664666
Estimation theory--Regression analysis
HB139.T52 ECO
Inconsistent VAR regression with common explosive roots created by Peter C. B. Phillips and Tassos Magdalinos - Econometric Theory Volume 29, number 4 .
Nielsen (Working paper, University of Oxford, 2009) shows that vector autoregression is inconsistent when there are common explosive roots with geometric multiplicity greater than unity. This paper discusses that result, provides a coexplosive system extension and an illustrative example that helps to explain the finding, gives a consistent instrumental variable procedure, and reports some simulations. Some exact limit distribution theory is derived and a useful new reverse martingale central limit theorem is proved
02664666
Estimation theory--Regression analysis
HB139.T52 ECO