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Dynamics of Model Overfitting Measured in terms of Autoregressive Roots

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Author Info
Clive W. J. Granger
Yongil Jeon

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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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Publisher Info
Article provided by Blackwell Publishing 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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  1. Onatski, Alexei & Uhlig, Harald, 2009. "Unit Roots in White Noise," MPRA Paper 14057, University Library of Munich, Germany. [Downloadable!]
  2. Bent Nielsen & Heino Bohn Nielsen, 2008. "Properties of Estimated Characteristic Roots," Discussion Papers 08-13, University of Copenhagen. Department of Economics. [Downloadable!]
    Other versions:
  3. Proietti, Tommaso, 2009. "The Multistep Beveridge-Nelson Decomposition," MPRA Paper 15345, University Library of Munich, Germany. [Downloadable!]
    Other versions:
  4. Proietti, Tommaso, 2008. "Direct and iterated multistep AR methods for difference stationary processes," MPRA Paper 10859, University Library of Munich, Germany, revised 01 Apr 2009. [Downloadable!]
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This page was last updated on 2009-11-22.

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