Publication Type
Journal Article
Version
acceptedVersion
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
Citation
PHILLIPS, Peter C. B. and LEE, Ji Hyung.
Limit Theory for VARs with Mixed Roots Near Unity. (2015). Econometric Reviews. 34, (6-10), 1034-1055.
Available at: https://ink.library.smu.edu.sg/soe_research/1838
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1080/07474938.2014.956617