INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS. (16th January 2013)
- Record Type:
- Journal Article
- Title:
- INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS. (16th January 2013)
- Main Title:
- INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS
- Authors:
- Phillips, Peter C.B.
Magdalinos, Tassos - Abstract:
- 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.
- Is Part Of:
- Econometric theory. Volume 29:Number 4(2013:Aug.)
- Journal:
- Econometric theory
- Issue:
- Volume 29:Number 4(2013:Aug.)
- Issue Display:
- Volume 29, Issue 4 (2013)
- Year:
- 2013
- Volume:
- 29
- Issue:
- 4
- Issue Sort Value:
- 2013-0029-0004-0000
- Page Start:
- 808
- Page End:
- 837
- Publication Date:
- 2013-01-16
- Subjects:
- Econometrics -- Periodicals
330.01519505 - Journal URLs:
- http://journals.cambridge.org/action/displayJournal?jid=ECT ↗
- DOI:
- 10.1017/S0266466612000709 ↗
- Languages:
- English
- ISSNs:
- 0266-4666
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library HMNTS - ELD Digital Store
- Ingest File:
- 4434.xml