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...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2015
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| 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 |
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| Institution: | Singapore Management University |
| Language: | English |