{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,7,29]],"date-time":"2026-07-29T03:20:26Z","timestamp":1785295226352,"version":"3.55.0"},"reference-count":21,"publisher":"Cambridge University Press (CUP)","issue":"4","license":[{"start":{"date-parts":[[2013,1,16]],"date-time":"2013-01-16T00:00:00Z","timestamp":1358294400000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2013,8]]},"abstract":"<jats:p>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.<\/jats:p>","DOI":"10.1017\/s0266466612000709","type":"journal-article","created":{"date-parts":[[2013,1,16]],"date-time":"2013-01-16T09:13:11Z","timestamp":1358327591000},"page":"808-837","source":"Crossref","is-referenced-by-count":15,"title":["INCONSISTENT VAR REGRESSION WITH COMMON EXPLOSIVE ROOTS"],"prefix":"10.1017","volume":"29","author":[{"given":"Peter C.B.","family":"Phillips","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Tassos","family":"Magdalinos","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2013,1,16]]},"reference":[{"key":"S0266466612000709_ref19","doi-asserted-by":"publisher","DOI":"10.3982\/QE82"},{"key":"S0266466612000709_ref17","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466608080353"},{"key":"S0266466612000709_ref15","doi-asserted-by":"publisher","DOI":"10.2307\/2648878"},{"key":"S0266466612000709_ref13","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600013402"},{"key":"S0266466612000709_ref12","volume-title":"Working paper","author":"Nielsen","year":"2009"},{"key":"S0266466612000709_ref9","first-page":"1","article-title":"A note on martingale difference sequences satisfying the local Marcinkiewich-Zygmund condition","volume":"11","author":"Lai","year":"1983","journal-title":"Bulletin of the Institute of Mathematics Academia Sinica"},{"key":"S0266466612000709_ref8","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176345697"},{"key":"S0266466612000709_ref7","volume-title":"Martingale Limit Theory and Its Application","author":"Hall","year":"1980"},{"key":"S0266466612000709_ref6","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1765(93)90031-7"},{"key":"S0266466612000709_ref4","doi-asserted-by":"publisher","DOI":"10.2307\/1911990"},{"key":"S0266466612000709_ref14","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600012287"},{"key":"S0266466612000709_ref21","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2006.00723.x"},{"key":"S0266466612000709_ref10","first-page":"33","article-title":"Sulla distribuzione di una base di norma unitaria del complemento ortogonale di un vettore gaussiano: Il caso bidimensionale","author":"Luati","year":"2002","journal-title":"Statistica LXII"},{"key":"S0266466612000709_ref2","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466609990776"},{"key":"S0266466612000709_ref5","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466607070521"},{"key":"S0266466612000709_ref16","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.08.002"},{"key":"S0266466612000709_ref18","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-2354.2010.00625.x"},{"key":"S0266466612000709_ref1","doi-asserted-by":"publisher","DOI":"10.1214\/aoms\/1177706198"},{"key":"S0266466612000709_ref3","doi-asserted-by":"crossref","first-page":"1721","DOI":"10.3982\/ECTA9099","article-title":"Bootstrap determination of the co-integration rank in VAR models","volume":"80","author":"Cavaliere","year":"2012","journal-title":"Econometrica"},{"key":"S0266466612000709_ref20","volume-title":"Almost Sure Convergence","author":"Stout","year":"1974"},{"key":"S0266466612000709_ref11","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466608090154"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466612000709","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,10,1]],"date-time":"2019-10-01T10:32:24Z","timestamp":1569925944000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466612000709\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2013,1,16]]},"references-count":21,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2013,8]]}},"alternative-id":["S0266466612000709"],"URL":"https:\/\/doi.org\/10.1017\/s0266466612000709","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2013,1,16]]}}}