Research / BFI Working Paper•Mar 01, 2009

Unit Roots in White Noise

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 n3/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.

More Research From These Scholars

BFI Working Paper • Jul 14, 2022

A Luna-tic Stablecoin Crash

Harald Uhlig
Topics:  Financial Markets
BFI Working Paper • Jan 24, 2020

Central Bank Digital Currency: Central Banking For All?

Jesús Fernández-Villaverde, Daniel Sanches, Linda Schilling, Harald Uhlig
Topics:  Monetary Policy
BFI Working Paper • Feb 1, 2012

How Do Laffer Curves Differ Across Countries?

Harald Uhlig, Mathias Trabandt
Topics:  Fiscal Studies, Monetary Policy