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Abstract

One method of describing the properties of a fitted autoregressive model of order p is to show the p roots that are implied by the lag operator. Considering autoregressive models fitted to 215 US macro series, with lags chosen by either the Bayesian or Schwarz information criteria or Akaike information criteria, the roots are found to constitute a distinctive pattern. Later analysis suggests that much of this pattern occurs because of overfitting of the models. An extension of the results shows that they have some practical multivariate time-series modelling implications. Copyright 2006 Blackwell Publishing Ltd.

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-9892.2006.00468.x
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Bibliographic Info

Article provided by Wiley Blackwell in its journal Journal of Time Series Analysis.

Volume (Year): 27 (2006)
Issue (Month): 3 (05)
Pages: 347-365

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Handle: RePEc:bla:jtsera:v:27:y:2006:i:3:p:347-365

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Cited by:

1. Onatski, Alexei & Uhlig, Harald, 2009. "Unit Roots in White Noise," MPRA Paper 14057, University Library of Munich, Germany.
   
   • Onatski, Alexei & Uhlig, Harald, 2012. "Unit Roots In White Noise," Econometric Theory, Cambridge University Press, vol. 28(03), pages 485-508, June.
   • Harald Uhlig & Alexei Onatski, 2009. "Unit Roots in White Noise," Working Papers 2009-004, Becker Friedman Institute for Research In Economics.
2. Proietti, Tommaso, 2011. "Direct and iterated multistep AR methods for difference stationary processes," International Journal of Forecasting, Elsevier, vol. 27(2), pages 266-280, April.
   
   • Proietti, Tommaso, 2011. "Direct and iterated multistep AR methods for difference stationary processes," International Journal of Forecasting, Elsevier, vol. 27(2), pages 266-280.
   • Proietti, Tommaso, 2008. "Direct and iterated multistep AR methods for difference stationary processes," MPRA Paper 10859, University Library of Munich, Germany.
3. Tommaso Proietti, 2009. "The Multistep Beveridge-Nelson Decomposition," EERI Research Paper Series EERI_RP_2009_24, Economics and Econometrics Research Institute (EERI), Brussels.
   
   • Tommaso Proietti, 2011. "The Multistep Beveridge-Nelson Decomposition," Working Papers 09/2011, University of Sydney Business School, Discipline of Business Analytics, revised Oct 2011.
   • Proietti, Tommaso, 2009. "The Multistep Beveridge-Nelson Decomposition," MPRA Paper 15345, University Library of Munich, Germany.
4. Bent Nielsen & Heino Bohn Nielsen, 2008. "Properties of Estimated Characteristic Roots," Discussion Papers 08-13, University of Copenhagen. Department of Economics.
   
   • Bent Nielsen & Heino Bohn Nielsen, 2008. "Properties of etimated characteristic roots," Economics Papers 2008-W07, Economics Group, Nuffield College, University of Oxford.

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