Analysis of co-explosive processes.
A vector autoregressive model allowing for unit roots as well as explosive characteristic roots is developed. The Granger-Johansen representation shows that this results in processes with two common features: a random walk and an explosively growing process. Co-integrating and co-explosive vectors c...
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| Format: | Working paper |
| Language: | English |
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Nuffield College (University of Oxford)
2005
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