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Consider the model  \\[  Y_ t=\\sum^{r}_{i=1}X_{ti}\\beta_ i+P_ t,\\quad P_ t=\\sum^{p}_{j=1}\\alpha_ jP_{t-j}+e_ t,  \\]  where \\(\\beta_ i\\) and \\(\\alpha_ j\\) are unknown parameters such that \\(\\{P_ t\\}\\) is a stationary AR(p) process. Let \\({\\tilde \\alpha}\\) be the estimator of \\(\\alpha =(\\alpha_ 1,...,\\alpha_ p)\\) which is given by the regression of \\(Y_ t\\) on \\((X_{t1},...,X_{tr}, Y_{t-1},...,Y_{t-p})\\). The other estimator \\({\\hat \\alpha}\\) of \\(\\alpha\\) arises from the regression of \\(\\hat P_ t\\) on \\((\\hat P_{t-1},...,\\hat P_{t-p})\\), where \\(\\hat P_ t\\) are the least squares residuals.    The authors prove that \\(E({\\hat \\alpha}-{\\tilde \\alpha})=O(n^{-2})\\) and propose a reparametrization that isolates the bias of the estimators. 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