We show that the empirical distribution of the roots of the vector auto-regression of order p 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 p tend to infinity so that...

Recently there has been a great deal of interest in studying monetary policy under model uncertainty. We point out that different assumptions about the uncertainty may result in drastically different robust' policy recommendations. Therefore, we develop new methods to analyze uncertainty about...