heteroscedasticity becomes biased and inconsistent. In this study, the analytical expressions for the inconsistency have been derived in … the first order autoregressive case. A comparison between asymptotic bias and small sample simulated bias has also been …

applications, small sample bias in the estimation of autoregressive coefficients is transmitted to the recoloring filter, leading … the effects of small sample autoregressive bias. Moreover, a commonly-used restriction rule on the prewhitening estimates …

complexity of the formulae currently available. We obtain new analytic formulae for the bias of a class of estimators of the … possible bias and improves substantially on the standard Eicker-White estimate …

Approximation formulae are developed for the bias of ordinary andgeneralized Least Squares Dummy Variable (LSDV … proper modelling of thedisturbance covariance structure is indispensable. The biasapproximations are used to construct bias … plausible long-run effects are obtained by the biascorrected estimators. Moreover, bias correction can be substantialunderlining …

properties; it explains why standard tests fail to detect bias; and it provides a mechanism for potentially improving forecasts …