IDEAS home Printed from https://ideas.repec.org/a/bla/jtsera/v27y2006i3p347-365.html
   My bibliography  Save this article

Dynamics of Model Overfitting Measured in terms of Autoregressive Roots

Author

Listed:
  • 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.

Suggested Citation

  • Clive W. J. Granger & Yongil Jeon, 2006. "Dynamics of Model Overfitting Measured in terms of Autoregressive Roots," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(3), pages 347-365, May.
  • Handle: RePEc:bla:jtsera:v:27:y:2006:i:3:p:347-365
    DOI: 10.1111/j.1467-9892.2006.00468.x
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/j.1467-9892.2006.00468.x
    Download Restriction: no

    File URL: https://libkey.io/10.1111/j.1467-9892.2006.00468.x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Tommaso Proietti, 2016. "The Multistep Beveridge--Nelson Decomposition," Econometric Reviews, Taylor & Francis Journals, vol. 35(3), pages 373-395, March.
    2. Bent Nielsen & Heino Bohn Nielsen, 2008. "Properties of etimated characteristic roots," Economics Papers 2008-W07, Economics Group, Nuffield College, University of Oxford.
    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.
    4. Bruns, Stephan B. & Csereklyei, Zsuzsanna & Stern, David I., 2020. "A multicointegration model of global climate change," Journal of Econometrics, Elsevier, vol. 214(1), pages 175-197.
    5. Carlos A. Medel, 2015. "Probabilidad Clásica de Sobreajuste con Criterios de Información: Estimaciones con Series Macroeconómicas Chilenas," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 30(1), pages 57-72, Abril.
    6. Onatski, Alexei & Uhlig, Harald, 2012. "Unit Roots In White Noise," Econometric Theory, Cambridge University Press, vol. 28(3), pages 485-508, June.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jtsera:v:27:y:2006:i:3:p:347-365. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.