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

By:

Phillips, Peter C. B [author]

Contributor(s):

Magdalinos, Tassos [co author]

Material type: Text

TextSeries: Econometric Theory ; Volume 29, number 4Cambridge: Cambridge University Press, 2013Content type:

text

Media type:

unmediated

Carrier type:

volume

ISSN:

02664666

Subject(s):

Estimation theory -- Regression analysis

LOC classification:

HB139.T52 ECO

Online resources:

Click here to access online

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	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

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Previous	HB119 ECO A competitive equilibrium for a warm-glow economy	HB119 ECO A unifying impossibility theorem	HB119 ECO Is there a plausible theory for decision under risk? a dual calibration critique	HB139.T52 ECO Inconsistent VAR regression with common explosive roots	HB139.T52 ECO Testing homogeneity in panel data models with interactive fixed effects	HB139.T52 ECO A smooth nonparametric conditional density test for categorical responses	HB139.T52 ECO Opening the black box: structural factor models with large cross-sections	Next

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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