Limit Theory for VARs with Mixed Roots Near Unity
Limit theory is developed for nonstationary vector autoregression (VAR) with mixed roots in the vicinity of unity involving persistent and explosive components. Statistical tests for common roots are examined and model selection approaches for discriminating roots are explored. The results are usefu...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2015
|
| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/1838 https://ink.library.smu.edu.sg/context/soe_research/article/2837/viewcontent/LimitTheoryVARsMixedRoots_2015.pdf |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Singapore Management University |
| Language: | English |
| Summary: | Limit theory is developed for nonstationary vector autoregression (VAR) with mixed roots in the vicinity of unity involving persistent and explosive components. Statistical tests for common roots are examined and model selection approaches for discriminating roots are explored. The results are useful in empirical testing for multiple manifestations of nonstationarity - in particular for distinguishing mildly explosive roots from roots that are local to unity and for testing commonality in persistence. |
|---|