Inconsistent VAR Regression with Common Explosive Roots
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...
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Main Authors: | , |
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Format: | text |
Language: | English |
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Institutional Knowledge at Singapore Management University
2013
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Online Access: | https://ink.library.smu.edu.sg/soe_research/1832 https://ink.library.smu.edu.sg/context/soe_research/article/2831/viewcontent/Inconsistent_VAR_Regression_with_Common_Explosive_Roots.pdf |
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Institution: | Singapore Management University |
Language: | English |