Biases of Correlograms and of AR Representations of Stationary Series
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- 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.
- K Abadir & R Larsson, "undated". "Biases of correlograms and of AR representations of stationary series," Discussion Papers 05/21, Department of Economics, University of York.
References listed on IDEAS
- Karim M. Abadir & Jan R. Magnus, 2002.
"Notation in econometrics: a proposal for a standard,"
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- Abadir, K.M. & Magnus, J.R., 2001. "Notation in Econometrics : A Proposal for a Standard," Discussion Paper 2001-8, Tilburg University, Center for Economic Research.
- 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.
- 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.
- Abadir,Karim M. & Magnus,Jan R., 2005. "Matrix Algebra," Cambridge Books, Cambridge University Press, number 9780521537469, April.
- 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.
- Rolf Larsson, 1997. "On the Asymptotic Expectations of Some Unit Root Tests in a First Order Autoregressive Process in the Presence of Trend," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 49(3), pages 585-599, September.
- 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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- repec:cup:cbooks:9780521822893 is not listed on IDEAS
More about this item
KeywordsAuto-correlation function (ACF) and correlogram; autoregressive (AR) representation; least-squares bias;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-06-25 (All new papers)
- NEP-ECM-2012-06-25 (Econometrics)
- NEP-ETS-2012-06-25 (Econometric Time Series)
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