In cointegration analysis, it is customary to test the hypothesis of unit roots separately for each single time series. In this note, we point out that this procedure may imply large size distortion of the unit root tests if the DGP is a VAR. It is well-known that univariate models implied by a VAR data generating process necessarily have a finite order MA component. This feature may explain wh...

Reduced rank linear predictive frequency and direction-of-arrival (DOA) estimation algorithms use the singular value decomposition (SVD) to produce a noise-cleaned linear prediction vector. These algorithms then root this vector to obtain a subset of roots, whose angles contain the desired frequency or DOA information. The roots closest to the unit circle are deemed to be the "signal roots." Th...