IDEAS home Printed from https://ideas.repec.org/a/bla/buecrs/v52y2000i2p91-100.html
   My bibliography  Save this article

Is More Information a Good Thing? Bias Nonmonotonicity in Stochastic Difference Equations

Author

Listed:
  • Abadir, Karim M
  • Hadri, Kaddour

Abstract

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 are due to the effect of the initial sample observations that are typically neglected in theoretical asymptotic analysis, in spite of their empirical relevance. Implications for practical economic modelling are considered, including a comparison of the likely inaccuracies of parameter estimates in alternative models based on competing macroeconomic theories. Copyright 2000 by Blackwell Publishing Ltd and the Board of Trustees of the Bulletin of Economic Research

Suggested Citation

  • Abadir, Karim M & Hadri, Kaddour, 2000. "Is More Information a Good Thing? Bias Nonmonotonicity in Stochastic Difference Equations," Bulletin of Economic Research, Wiley Blackwell, vol. 52(2), pages 91-100, April.
  • Handle: RePEc:bla:buecrs:v:52:y:2000:i:2:p:91-100
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Kaddour Hadri & Rolf Larsson & Yao Rao, 2012. "Testing For Stationarity With A Break In Panels Where The Time Dimension Is Finite," Bulletin of Economic Research, Wiley Blackwell, vol. 64(Supplemen), pages 123-148, December.
    2. Kaddour Hadri & Yao Rao, 2008. "Panel Stationarity Test with Structural Breaks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(2), pages 245-269, April.
    3. Lawford, Steve & Stamatogiannis, Michalis P., 2009. "The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators," Journal of Econometrics, Elsevier, vol. 148(2), pages 124-130, February.
    4. Abadir, Karim M. & Talmain, Gabriel, 2005. "Autocovariance functions of series and of their transforms," Journal of Econometrics, Elsevier, vol. 124(2), pages 227-252, February.
    5. Vougas, Dimitrios V., 2006. "Remark on the asymptotic distribution of the OLS estimator in a simple Gaussian unit-root autoregression," Statistics & Probability Letters, Elsevier, vol. 76(1), pages 27-34, January.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:buecrs:v:52:y:2000:i:2:p:91-100. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0307-3378 .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.