Biases of Correlograms and of AR Representations of Stationary Series
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.
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- Karim M. Abadir & Jan R. Magnus, 2002.
"Notation in econometrics: a proposal for a standard,"
Royal Economic Society, vol. 5(1), pages 76-90, June.
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- Liudas Giraitis & Javier Hidalgo & Peter M Robinson, 2001. "Gaussian Estimation of Parametric Spectral Density with Unknown Pole," STICERD - Econometrics Paper Series /2001/424, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
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- repec:cup:cbooks:9780521822893 is not listed on IDEAS
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