Unit Roots in White Noise

Alexei Onatski () and Harald Uhlig ()

MPRA Paper from University Library of Munich, Germany

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.

Keywords: unit roots; unit root; white noise; asymptotics; autoregression; Granger and Jeon; clustering of roots (search for similar items in EconPapers)
JEL-codes: C01 C22 C32 (search for similar items in EconPapers)
Date: 2009-03-08
New Economics Papers: this item is included in nep-ecm and nep-ets
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https://mpra.ub.uni-muenchen.de/14057/1/MPRA_paper_14057.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/14060/2/MPRA_paper_14060.pdf revised version (application/pdf)

Related works:
Journal Article: UNIT ROOTS IN WHITE NOISE (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:14057

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