Publication Type

Journal Article

Publication Date

5-2015

Abstract

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.

Keywords

Mildly explosive, Common roots, Local to unity, Mixed roots, Tests of common roots, Persistence, Model selection, C22

Discipline

Econometrics

Research Areas

Econometrics

Publication

Econometric Reviews

Volume

34

Issue

6-10

First Page

1034

Last Page

1055

ISSN

0747-4938

Identifier

10.1080/07474938.2014.956617

Publisher

Taylor & Francis: STM, Behavioural Science and Public Health Titles

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/10.1080/07474938.2014.956617

Included in

Econometrics Commons

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