Publication Type

Journal Article

Version

Preprint

Publication Date

8-2013

Abstract

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 to explain the finding, gives a consistent instrumental variable procedure, and reports some simulations. Some exact limit distribution theory is derived and a useful new reverse martingale central limit theorem is proved.

Keywords

Co-explosive behavior, Common roots, Endogeneity, Forward instrumentation, Geometric multiplicity, Reverse martingale

Discipline

Econometrics

Research Areas

Econometrics

Publication

Econometric Theory

Volume

29

Issue

4

First Page

808

Last Page

837

ISSN

0266-4666

Identifier

10.1017/S0266466612000709

Publisher

Cambridge University Press (CUP): HSS Journals

Copyright Owner and License

Authors

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Additional URL

http://doi.org/10.1017/S0266466612000709

Included in

Econometrics Commons

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