INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS
讨论Nielsen发现的共同爆炸根导致向量自回归不一致的问题，提出协爆炸系统扩展和工具变量方法，并给出模拟和极限分布理论。
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.