Properties of Estimated Characteristic Roots

Preprint, Research OPEN
Bent Nielsen; Heino Bohn Nielsen;
  • Publisher: Department of Economics, University of Copenhagen
  • Subject: autoregression; characteristic root | Faculty of Social Sciences | /dk/atira/pure/core/keywords/FacultyOfSocialSciences | autoregression | Autoregression, Characteristic Root
    • jel: jel:C22

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... View more
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