TY  - BOOK
AU  - Phillips,Peter C.B.
AU  - Magdalinos,Tassos
TI  - Inconsistent VAR regression with common explosive roots
SN  - 02664666
AV  - HB139.T52 ECO 
PY  - 2013///
CY  - Cambridge
PB  - Cambridge University Press
KW  - Estimation theory
KW  - Regression analysis
N2  - 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
UR  - https://doi.org/10.1017/S0266466612000709
ER  -