ANALYSIS OF COEXPLOSIVE PROCESSES

Bent Juhl Nielsen

49 citations0/0 files storedEconometric Theory

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Monetary Policy and Economic Impact Economic theories and models Diverse Scientific and Economic Studies

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.

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References

1988Statistical analysis of cointegration vectors 1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models 2006The Cointegrated VAR Model: Methodology and Applications 1973Rational Expectations and the Dynamics of Hyperinflation 2002A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model 1977The Demand for Money during Hyperinflations under Rational Expectations: I 1999Likelihood analysis of seasonal cointegration 1991The Hyperinflation Model of Money Demand Revisited

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