Unit Roots in White Noise
AbstractWe show that the empirical distribution of the roots of the vector auto-regression of order n fitted to T observations of a general stationary or non-stationary process, converges to the uniform distribution over the unit circle on the complex plane, when both T and n tend to infinity so that (ln T ) /n ? 0 and n3/T ? 0. In particular, even if the process is a white noise, the roots of the estimated vector auto-regression will converge by absolute value to unity.
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Bibliographic InfoPaper provided by Becker Friedman Institute for Research In Economics in its series Working Papers with number 2009-004.
Date of creation: Mar 2009
Date of revision:
Other versions of this item:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
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