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  • Bent Nielsen (a1)
  • DOI:
  • Published online: 01 October 2009

A vector autoregressive model allowing for unit roots as well as an explosive characteristic root is developed. The Granger-Johansen representation shows that this results in processes with two common features: a random walk and an explosively growing process. Cointegrating and coexplosive vectors can be found that eliminate these common factors. The likelihood ratio test for a simple hypothesis on the coexplosive vectors is analyzed. The method is illustrated using data from the extreme Yugoslavian hyperinflation of the 1990s.

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*Address correspondence to Bent Nielsen, Nuffield College, Oxford OX1 1NF, UK; e-mail:
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Econometric Theory
  • ISSN: 0266-4666
  • EISSN: 1469-4360
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