"Analysis of co-explosive processes"  
	
Bent Nielsen 
Nuffield College, University of Oxford

Abstract:	
A vector autoregressive model allowing for unit roots as well as
explosive characteristic roots is developed. The Granger-Johansen
representation shows that this results in processes with two common
features: a random walk and an explosively growing process.
Co-integrating and co-explosive vectors can be found which eliminate
these common factors. Likelihood ratio tests for linear restrictions
on the co-explosive vectors are derived. As an empirical illustration
the method is applied to data from the extreme Yugoslavian
hyper-inflation of the 1990s.