Abadir, Karim M; Hadri, Kaddour - In: Bulletin of Economic Research 52 (2000) 2, pp. 91-100
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...