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Numerical evaluation of the formula reveals that the approximation is very accurate. The derived formula inspires a heuristic approximation, obtained by leastsquares fitting of the asymptotic bias. More importantly, the formula proves analytically that the bias declines at a rate which is slower than the consistency rate, thus explaining some previous simulation findings. A case where the bias increases with the sample size is also given.<\/jats:p>","DOI":"10.1017\/s0266466600007349","type":"journal-article","created":{"date-parts":[[2009,3,10]],"date-time":"2009-03-10T15:42:54Z","timestamp":1236699774000},"page":"81-93","source":"Crossref","is-referenced-by-count":37,"title":["Ols Bias in a Nonstationary Autoregression"],"prefix":"10.1017","volume":"9","author":[{"given":"Karim M.","family":"Abadir","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2009,2,11]]},"reference":[{"key":"S0266466600007349_ref029","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/48.1-2.85"},{"key":"S0266466600007349_ref028","doi-asserted-by":"publisher","DOI":"10.1214\/aoms\/1177706213"},{"key":"S0266466600007349_ref025","doi-asserted-by":"publisher","DOI":"10.2307\/1911260"},{"key":"S0266466600007349_ref023","doi-asserted-by":"publisher","DOI":"10.2307\/1913237"},{"key":"S0266466600007349_ref020","volume-title":"Handbook of Econometrics","volume":"1","author":"Phillips","year":"1983"},{"key":"S0266466600007349_ref019","volume-title":"Cowles Foundation Discussion Paper No. 487","author":"Phillips","year":"1978"},{"key":"S0266466600007349_ref018","doi-asserted-by":"publisher","DOI":"10.1007\/BF00050668"},{"key":"S0266466600007349_ref021","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/74.3.535"},{"key":"S0266466600007349_ref026","first-page":"220","article-title":"Exact moments of the least squares estimator in a first-order nonstationary autoregressive model. 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