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Biometrika 1984 71(3):656; doi:10.1093/biomet/71.3.656
© 1984 by Biometrika Trust
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AMENDMENTS AND CORRECTIONS

‘Bias of some commonly-used time series estimates’

D. TJØSTHEIM and J. PAULSEN

Professor A. M. Walker has kindly pointed out that two of the formulae contain algebraic errors. In (3.9) the factor 3–2zt z2 should be replaced by 2–2, z2 resulting in

. The error is so small compared to the dominating term that it has no detectable effect on the comparison between theoretical and simulated results in Tables 1 and 2.

In formula (415) the term 2 –a, +3a2 should be replaced with 2 + 5a2 with a corresponding adjustment in the last component of (4-20) which therefore should read


This adjustment leads to an improved fit between simulated and theoretical results for least squares estimates.

Our results have subsequently been substantiated and extended by A. M. Walker in an as yet unpublished conference paper and by Paulsen & Tjostheim (1984).


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