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Dynamics of Model Overfitting Measured in terms of Autoregressive Roots

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  • Clive W. J. Granger
  • Yongil Jeon

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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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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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782

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Cited by:
  1. Bent Nielsen & Heino Bohn Nielsen, 2008. "Properties of etimated characteristic roots," Economics Papers 2008-W07, Economics Group, Nuffield College, University of Oxford.
  2. Proietti, Tommaso, 2009. "The Multistep Beveridge-Nelson Decomposition," MPRA Paper 15345, University Library of Munich, Germany.
  3. 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.
  4. Onatski, Alexei & Uhlig, Harald, 2009. "Unit Roots in White Noise," MPRA Paper 14057, University Library of Munich, Germany.

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