INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS
INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS
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DOI：
10.1017/s0266466612000709
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发表时间：
2010-11
影响因子：
0.8
通讯作者：
P. Phillips;Tassos Magdalinos
中科院分区：
文献类型：
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作者：
P. Phillips;Tassos Magdalinos
Nielsen （Working paper, University Oxford, 2009）表明，当存在几何多重大于1的公共爆炸根时，向量自回归不一致。本文讨论了这一结果，提供了一个共爆系统的扩展和一个有助于解释这一发现的例子，给出了一个一致的工具变量程序，并报告了一些模拟。导出了一些精确的极限分布理论，并证明了一个有用的新的逆鞅中心极限定理。
Nielsen (Working paper, University of Oxford, 2009) shows that vector autoregression is inconsistent when there are common explosive roots with geometric multiplicity greater than unity. This paper discusses that result, provides a coexplosive system extension and an illustrative example that helps to explain the finding, gives a consistent instrumental variable procedure, and reports some simulations. Some exact limit distribution theory is derived and a useful new reverse martingale central limit theorem is proved.