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...

We analyse a cointegrated VAR comprising UK data on consumer prices, unit labour costs, import prices and real consumption growth. The nominal variables, treated as I(2) here, form a linearly homogeneous relation, suggesting a transformation of the system to one comprising inflation and relative...