The authors consider the relative bias of the OLS-based estimate s(squared) of the disturbance variance in the linear regression model when disturbances are stationary AR(1). They improve upon previous bounds for the bias and show that E(s[squared]/["sigma" squared]) tends to zero as...

Through Monte Carlo experiments the effects of a feedback mechanism on the accuracy in finite samples of ordinary and bootstrap inference procedures are examined in stable first and second-order autoregressive distributed-lag models with non-stationary weakly exogenous regressors. The Monte...