Biases of Correlograms and of AR Representations of Stationary Series

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

Journal of Time Series Econometrics, 2012, vol. 4, issue 1, 11

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; auto-regressive (AR) representation; least-squares bias (search for similar items in EconPapers)
Date: 2012
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Working Paper: Biases of Correlograms and of AR Representations of Stationary Series (2012)
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DOI: 10.1515/1941-1928.1130

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