Biases of correlograms and of AR representations of stationary series

Karim Abadir () and R Larsson

Discussion Papers from Department of Economics, University of York

Abstract: We derive the relation between the biases of correlograms and of estimates of auto-regressive AR(k) representations of stationary series. We illustrate our approach with a simple AR(2) example, then apply it to the more substantive case of a fractionally-integrated processes where the results have not been derived before. In such a case, k needs to be asymptotically a concave and increasing function of the sample size T. It turns out that the AR representation of I(d) processes leads to biases that are much smaller than for traditional AR models, hence making it an attractive representation.

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