Bias Nonmonotonicity in Stochastic Difference Equations
We show that the bias of estimated parameters in autoregressive models can increase as the sample size grows. This unusual result is due to the effect of the initial sample observations that are typically neglected in theoretical asymptotoc analysis, in spite of their empirical relevance. Implications for practical economic modelling are considered.
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|Contact details of provider:|| Postal: Department of Economics and Related Studies, University of York, York, YO10 5DD, United Kingdom|
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Web page: http://www.york.ac.uk/economics/
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