Skip to main content
×
Home
    • Aa
    • Aa

ANALYSIS OF COEXPLOSIVE PROCESSES

  • Bent Nielsen (a1)
Abstract

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.

Copyright
Corresponding author
*Address correspondence to Bent Nielsen, Nuffield College, Oxford OX1 1NF, UK; e-mail: bent.nielsen@nuffield.ox.ac.uk.
Linked references
Hide All

This list contains references from the content that can be linked to their source. For a full set of references and notes please see the PDF or HTML where available.

T.W. Anderson (1959) On asymptotic distributions of estimates of parameters of stochastic difference equations. Annals of Mathematical Statistics 30, 676–687.

N.H. Chan & C.Z. Wei (1988) Limiting distributions of least squares estimates of unstable autoregressive processes. Annals of Statistics 16, 367–401.

L.J. Christiano (1987) Cagan’s model of hyperinflation under rational expectations. International Economic Review 28, 33–49.

E. Engler & B. Nielsen (2009) The empirical process of autoregressive residuals. Econometrics Journal 12, 367–381.

T. Engsted (2006) Explosive bubbles in the cointegrated VAR model. Finance Research Letters 3, 154–162.

P. Evans (1978) Time series analysis of the German hyperinflation. International Economic Review 19, 195–209.

S. Johansen (1988) Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control 12, 231–254.

S. Johansen (1995) Likelihood-Based Inference in Cointegrated Vector Autoregressive Models. Oxford University Press.

S. Johansen (1997) Likelihood analysis of the I(2) model. Scandinavian Journal of Statistics 24, 433–462.

S. Johansen (2002) A small sample correction for the test of cointegration rank in the vector autoregressive model. Econometrica 70, 1929–1962.

S. Johansen & E. Schaumburg (1999) Likelihood analysis of seasonal cointegration. Journal of Econometrics 88, 301–339.

B. Nielsen (2001) The asymptotic distribution of unit root tests of unstable autoregressive processes. Econometrica 69, 211–219.

P. Petrović , Ž. Bogetić , & Z. Vujošević (1999) The Yugoslav hyper-inflation of 1992-1994: Causes, dynamics, and money supply process. Journal of Comparative Economics 27, 335–353.

P. Petrović & Z. Mladenović (2000) Money demand and exchange rate determination under hyper-inflation: Conceptual issues and evidence from Yugoslavia. Journal of Money, Credit, and Banking 32, 785–806.

P. Petrović & Z. Vujošević (1996) The monetary dynamics in the Yugoslav hyper-inflation of 1991-1993: The Cagan money demand. European Journal of Political Economy 12, 467–483. Erratum (1997) in vol. 13, 385–387.

P.C.B. Phillips & T. Magdalinos (2008) Limit theory for explosively cointegrated systems. Econometric Theory 24, 865–887.

A. Rahbek , H.C. Kongsted & C. Jørgensen (1999) Trend stationarity in the I(2) cointegration model. Journal of Econometrics 90, 265–289.

T. Sargent (1977) The demand for money during hyperinflations under rational expectations: I. International Economic Review 18, 59–82.

T. Sargent & N. Wallace (1973) Rational expectations and the dynamics of hyperinflation. International Economic Review 14, 328–350.

M.P. Taylor (1991) The hyper-inflation model of money demand revisited. Journal of Money, Credit, and Banking 23, 327–351.

Recommend this journal

Email your librarian or administrator to recommend adding this journal to your organisation's collection.

Econometric Theory
  • ISSN: 0266-4666
  • EISSN: 1469-4360
  • URL: /core/journals/econometric-theory
Please enter your name
Please enter a valid email address
Who would you like to send this to? *
×