Onatski, Alexei and Uhlig, Harald (2009): Unit Roots in White Noise.
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Abstract
We show that the empirical distribution of the roots of the vector autoregression of order n fitted to T observations of a general stationary or nonstationary 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 n^3/T → 0. In particular, even if the process is a white noise, the roots of the estimated vector autoregression will converge by absolute value to unity.
Item Type:  MPRA Paper 

Original Title:  Unit Roots in White Noise 
Language:  English 
Keywords:  unit roots, unit root, white noise, asymptotics, autoregression, Granger and Jeon, clustering of roots 
Subjects:  C  Mathematical and Quantitative Methods > C3  Multiple or Simultaneous Equation Models; Multiple Variables > C32  TimeSeries Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models C  Mathematical and Quantitative Methods > C2  Single Equation Models; Single Variables > C22  TimeSeries Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models C  Mathematical and Quantitative Methods > C0  General > C01  Econometrics 
Item ID:  14057 
Depositing User:  Harald Uhlig 
Date Deposited:  14. Mar 2009 06:55 
Last Modified:  21. Feb 2013 21:02 
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URI:  http://mpra.ub.unimuenchen.de/id/eprint/14057 
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