Biases of Correlograms and of AR Representations of Stationary Series

We derive the relation between the biases of correlograms and of estimates of auto-regressive AR(k) representations of stationary series, and we illustrate it with a simple AR example. The new relation allows for k to vary with the sample size, which is a representation that can be used for most stationary processes. As a result, the biases of the estimators of such processes can now be quantified explicitly and in a unified way.

MoreLess

Year of publication:	2012-06
Authors:	Abadir, Karim M. ; Larsson, Rolf
Institutions:	Rimini Centre for Economic Analysis (RCEA)
Subject:	Auto-correlation function (ACF) and correlogram \| autoregressive (AR) representation \| least-squares bias

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf
Series:	Working Paper Series.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010551741