Properties of Estimated Characteristic Roots
AbstractEstimated characteristic roots in stationary autoregressions are shown to give rather noisy information about their population equivalents. This is remarkable given the central role of the characteristic roots in the theory of autoregressive processes. In the asymptotic analysis the problems appear when multiple roots are present as this imply a non-differentiability so the δ-method does not apply, convergence rates are slow, and the asymptotic distribution is non-normal. In finite samples this has a considerable influence on the finite sample distribution unless the roots are far apart. With increasing order of the autoregressions it becomes increasingly difficult to place the roots far apart giving a very noisy signal from the characteristic roots.
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Bibliographic InfoPaper provided by University of Copenhagen. Department of Economics in its series Discussion Papers with number 08-13.
Length: 13 pages
Date of creation: May 2008
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autoregression; characteristic root;
Other versions of this item:
- Bent Nielsen & Heino Bohn Nielsen, 2008. "Properties of estimated characteristic roots," Economics Series Working Papers 2008-WO7, University of Oxford, 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.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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