Bias Nonmonotonicity in Stochastic Difference Equations

Karim Abadir and Kaddour Hadri ()

Discussion Papers from University of Exeter, Department of Economics

Abstract: 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.

Keywords: ECONOMETRICS (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 9 pages
Date: 1995
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