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Inconsistent VAR regression with common explosive roots created by Peter C. B. Phillips and Tassos Magdalinos

By: Contributor(s): Material type: TextTextSeries: Econometric Theory ; Volume 29, number 4Cambridge: Cambridge University Press, 2013Content type:
  • text
Media type:
  • unmediated
Carrier type:
  • volume
ISSN:
  • 02664666
Subject(s): LOC classification:
  • HB139.T52 ECO
Online resources: Abstract: 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
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Item type Current library Call number Vol info Copy number Status Notes Date due Barcode
Journal Article Journal Article Main Library Journal Article HB139.T52 ECO (Browse shelf(Opens below)) Vol. 29, no.4 (pages 808-837) SP17541 Not for loan For In House Use Only

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

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