Limit Theory for Explosively Cointegrated Systems

Limit Theory for Explosively Cointegrated Systems

A limit theory is developed for multivariate regression in an explosive cointegrated system. The asymptotic behavior of the least squares estimator of the cointegrating coefficients is found to depend upon the precise relationship between the explosive regressors. When the eigenvalues of the autoreg...

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Bibliographic Details
Main Authors: PHILLIPS, Peter C. B., MAGDALINOS, Tassos
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2008
Subjects:
Central limit theory
Exposive cointegration
Explosive process
Mixed normality
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/250
https://ink.library.smu.edu.sg/context/soe_research/article/1249/viewcontent/Limit_Theory_for_Explosively_Cointegrated_Systems_2007_pp.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/250
https://ink.library.smu.edu.sg/context/soe_research/article/1249/viewcontent/Limit_Theory_for_Explosively_Cointegrated_Systems_2007_pp.pdf

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