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Bias Nonmonotonicity in Stochastic Difference Equations.

We show that the bias of estimated parameters in autoregressive models can increase as the sample size grows. This unusual result is due to the effect of the initial sample observations that are typically neglected in theoretical asymptotoc analysis, in spite of their empirical relevance. Implications for practical economic modelling are considered.
Year of publication:
1995
Authors: Abadir, Karim ; Hadri, K.
Institutions: Business School, University of Exeter
Subject: ECONOMETRICS
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Type of publication: Book / Working Paper
Notes:
9 pages
Classification: C22 - Time-Series Models
Source:
Persistent link: https://www.econbiz.de/10008852296
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