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Dynamics of Model Overfitting Measured in terms of Autoregressive Roots


  • Clive W. J. Granger
  • Yongil Jeon


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.

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

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    References listed on IDEAS

    1. Davidson, James, 1994. "Stochastic Limit Theory: An Introduction for Econometricians," OUP Catalogue, Oxford University Press, number 9780198774037, June.
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    Cited by:

    1. Onatski, Alexei & Uhlig, Harald, 2012. "Unit Roots In White Noise," Econometric Theory, Cambridge University Press, vol. 28(03), pages 485-508, June.
    2. Proietti, Tommaso, 2011. "Direct and iterated multistep AR methods for difference stationary processes," International Journal of Forecasting, Elsevier, vol. 27(2), pages 266-280.
    3. Tommaso Proietti, 2016. "The Multistep Beveridge--Nelson Decomposition," Econometric Reviews, Taylor & Francis Journals, vol. 35(3), pages 373-395, March.
    4. David I. Stern, 2004. "A Multicointegration Model of Global Climate Change," Rensselaer Working Papers in Economics 0406, Rensselaer Polytechnic Institute, Department of Economics.
    5. Carlos Medel, 2014. "Probabilidad Clásica de Sobreajuste con Criterios de Información: Estimaciones con Series Macroeconómicas Chilenas," Working Papers Central Bank of Chile 735, Central Bank of Chile.
    6. Bent Nielsen & Heino Bohn Nielsen, 2008. "Properties of etimated characteristic roots," Economics Papers 2008-W07, Economics Group, Nuffield College, University of Oxford.

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