It is shown that the bias of estimated parameters in autoregressive models can increase as the sample size grows. This bias is also a nonmonotonic function of the largest autoregressive root, contrary to what asymptotic approximations had indicated so far in the literature. These unusual results...

Vector AutoRegressions (VARs) have now become the most popular tool of Time Series analysis amongst econometricians. Unfortunately, little is known about the analytic finite-sample properties of parameter estimators for such systems. The asymptotic analysis of VARs published to date does not...