Biases of Correlograms and of AR Representations of Stationary Series

Karim M. Abadir and Rolf Larsson
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Karim M. Abadir: Imperial College London, UK
Rolf Larsson: Uppsala University, Sweden

Working Paper series from Rimini Centre for Economic Analysis

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.

Keywords: Auto-correlation function (ACF) and correlogram; autoregressive (AR) representation; least-squares bias (search for similar items in EconPapers)
Date: 2012-06
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Journal Article: Biases of Correlograms and of AR Representations of Stationary Series (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:rim:rimwps:24_12

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