Template-type: ReDIF-Paper 1.0
Author-Name: Bent Nielsen
Author-Email: bent.nielsen@nuffield.ox.ac.uk
Author-Workplace-Name: Nuffield College, Oxford
Author-Workplace-Homepage: http://www.nuff.ox.ac.uk/users/nielsen
Title: Analysis of co-explosive processes
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.
X-Classification-JEL: 
Keywords: Asymptotic normality, Co-explosiveness, Cointegration, Explosive processes, Hyper-inflation, Likelihood ratio tests, Vector autoregression
Length: 36 pages
Creation-Date: 2005-03-30
Number: 2005-W08
File-URL: http://www.nuffield.ox.ac.uk/economics/papers/2005/w8/explosive.pdf
File-Format: application/pdf
Handle: RePEc:nuf:econwp:0508