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Biases of Correlograms and of AR Representations of Stationary Series

Author

Listed:
  • Abadir Karim M.

    (Imperial College London)

  • Larsson Rolf

    (Uppsala University)

Abstract

We derive the relation between the biases of correlograms and of estimates of auto-regressive AR(k) representations of stationary series, and we illustrate it with a simple AR example. The new relation allows for k to vary with the sample size, which is a representation that can be used for most stationary processes. As a result, the biases of the estimators of such processes can now be quantified explicitly and in a unified way.

Suggested Citation

  • Abadir Karim M. & Larsson Rolf, 2012. "Biases of Correlograms and of AR Representations of Stationary Series," Journal of Time Series Econometrics, De Gruyter, vol. 4(1), pages 1-11, May.
    • Handle: RePEc:bpj:jtsmet:v:4:y:2012:i:1:n:1
    DOI: 10.1515/1941-1928.1130
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    References listed on IDEAS

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    1. Karim M. Abadir & Jan R. Magnus, 2002. "Notation in econometrics: a proposal for a standard," Econometrics Journal, Royal Economic Society, vol. 5(1), pages 76-90, June.
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    3. Kiviet, Jan F. & Phillips, Garry D. A., 1994. "Bias assessment and reduction in linear error-correction models," Journal of Econometrics, Elsevier, vol. 63(1), pages 215-243, July.
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    5. Giraitis, L & Hidalgo, J & Robinson, Peter M., 2001. "Gaussian estimation of parametric spectral density with unknown pole," LSE Research Online Documents on Economics 297, London School of Economics and Political Science, LSE Library.
    6. Henry L. Gray & Nien‐Fan Zhang & Wayne A. Woodward, 1989. "On Generalized Fractional Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 10(3), pages 233-257, May.
    7. Giraitis, Liudas & Hidalgo, Javier & Robinson, Peter, 2001. "Gaussian estimation of parametric spectral density with unknown pole," LSE Research Online Documents on Economics 2182, London School of Economics and Political Science, LSE Library.
    8. Abadir,Karim M. & Magnus,Jan R., 2005. "Matrix Algebra," Cambridge Books, Cambridge University Press, number 9780521537469.
    9. Abadir, Karim M., 1993. "Ols Bias in a Nonstationary Autoregression," Econometric Theory, Cambridge University Press, vol. 9(1), pages 81-93, January.
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    11. Liudas Giraitis & Javier Hidalgo & Peter M Robinson, 2001. "Gaussian Estimation of Parametric Spectral Density with Unknown Pole," STICERD - Econometrics Paper Series 424, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
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    More about this item

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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