Dynamics of Model Overfitting Measured in terms of Autoregressive Roots
AbstractOne 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Wiley Blackwell in its journal Journal of Time Series Analysis.
Volume (Year): 27 (2006)
Issue (Month): 3 (05)
Contact details of provider:
Web page: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Onatski, Alexei & Uhlig, Harald, 2009.
"Unit Roots in White Noise,"
14057, University Library of Munich, Germany.
- 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.
- 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.
- Bent Nielsen & Heino Bohn Nielsen, 2008.
"Properties of Estimated Characteristic Roots,"
08-13, University of Copenhagen. Department of Economics.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.