Inconsistent Var Regression With Common Explosive Roots
Work
Year: 2013
Type: article
Abstract: 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 di... more
Source: Econometric Theory
Cites: 23
Cited by: 23
Related to: 10
FWCI: 5.337
Citation percentile (by year/subfield): 94.25
Domain: Social Sciences
Sustainable Development Goal Peace, justice, and strong institutions
Open Access status: green