Properties of etimated 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 d-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.
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.
Bibliographic InfoPaper provided by Economics Group, Nuffield College, University of Oxford in its series Economics Papers with number 2008-W07.
Length: 14 pages
Date of creation: 05 2008
Date of revision:
Contact details of provider:
Web page: http://www.nuff.ox.ac.uk/economics/
Autoregression; Characteristic root.;
Other versions of this item:
- Bent Nielsen & Heino Bohn Nielsen, 2008. "Properties of estimated characteristic roots," Economics Series Working Papers, University of Oxford, Department of Economics 2008-WO7, University of Oxford, Department of Economics.
- Bent Nielsen & Heino Bohn Nielsen, 2008. "Properties of Estimated Characteristic Roots," Discussion Papers, University of Copenhagen. Department of Economics 08-13, University of Copenhagen. Department of Economics.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
This paper has been announced in the following NEP Reports:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Pantula, Sastry G., 1989. "Testing for Unit Roots in Time Series Data," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 5(02), pages 256-271, August.
- Wymer, C R, 1972. "Econometric Estimation of Stochastic Differential Equation Systems," Econometrica, Econometric Society, Econometric Society, vol. 40(3), pages 565-77, May.
- Soren JOHANSEN, 2001.
"The Asymptotic Variance of the Estimated Roots in a Cointegrated Vector Autoregressive Model,"
Economics Working Papers, European University Institute
ECO2001/01, European University Institute.
- Søren Johansen, 2003. "The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model," Journal of Time Series Analysis, Wiley Blackwell, Wiley Blackwell, vol. 24(6), pages 663-678, November.
- Clive W. J. Granger & Yongil Jeon, 2006. "Dynamics of Model Overfitting Measured in terms of Autoregressive Roots," Journal of Time Series Analysis, Wiley Blackwell, Wiley Blackwell, vol. 27(3), pages 347-365, 05.
- Harald Uhlig & Alexei Onatski, 2009.
"Unit Roots in White Noise,"
Working Papers, Becker Friedman Institute for Research In Economics
2009-004, Becker Friedman Institute for Research In Economics.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Maxine Collett).
If references are entirely missing, you can add them using this form.