Document Type
Discussion Paper
Publication Date
1-1-2012
CFDP Number
1845
CFDP Pages
24
Abstract
Limit theory is developed for nonstationary vector autoregression (VAR) with mixed roots in the vicinity of unity involving persistent and explosive components. Statistical tests for common roots are examined and model selection approaches for discriminating roots are explored. The results are useful in empirical testing for multiple manifestations of nonstationarity — in particular for distinguishing mildly explosive roots from roots that are local to unity and for testing commonality in persistence.
Recommended Citation
Phillips, Peter C.B. and Lee, Ji Hyung, "VARs with Mixed Roots Near Unity" (2012). Cowles Foundation Discussion Papers. 2204.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/2204