Limit Theory for VARs with Mixed Roots Near Unity
研究了包含持续和爆炸成分的近单位根混合根的非平稳向量自回归的极限理论，并探讨了共同根的统计检验和模型选择方法，有助于区分轻度爆炸根与局部单位根。
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.