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 auto-regression of order n fitted to T observations of a general stationary or non-stationary 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 auto-regression will converge by absolute value to unity.
Item Type: | MPRA Paper |
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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 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes 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: | 03 Oct 2019 07:28 |
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URI: | https://mpra.ub.uni-muenchen.de/id/eprint/14057 |
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