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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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2008
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| Subjects: | |
| 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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