Limit Theory for VARs with Mixed Roots Near Unity

Peter C.B. Phillips, Ji Hyung Lee

Research output: Contribution to journalArticlepeer-review

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.

Original languageEnglish (US)
Pages (from-to)1035-1056
Number of pages22
JournalEconometric Reviews
Volume34
Issue number6-10
DOIs
StatePublished - May 22 2015
Externally publishedYes

Keywords

  • Common roots
  • Local to unity
  • Mildly explosive
  • Mixed roots
  • Model selection
  • Persistence
  • Tests of common roots

ASJC Scopus subject areas

  • Economics and Econometrics

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