Working paper icon

Working paper

Properties of etimated characteristic roots.

Abstract:

Estimated 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 th...

Expand abstract

Actions


Access Document


Files:

Authors


Volume:
W07
Series:
Economic Series Working Papers
Publication date:
2008-01-01
URN:
uuid:e2780be6-ca0a-4c6e-9149-ae2621dbea2c
Local pid:
oai:economics.ouls.ox.ac.uk:11952
Language:
English

Terms of use


Metrics


Views and Downloads






If you are the owner of this record, you can report an update to it here: Report update to this record

TO TOP