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Jackknife estimation with a unit root

Jackknife estimation with a unit root
Jackknife estimation with a unit root
We study jackknife estimators in a first-order autoregression with a unit root. Non-overlapping sub-sample estimators have different limit distributions, so the jackknife does not fully eliminate first-order bias. We therefore derive explicit limit distributions of the numerator and denominator to calculate the expectations that determine optimal jackknife weights. Simulations show that the resulting jackknife estimator produces substantial reductions in bias and RMSE
0167-7152
1677-1682
Chambers, Marcus J.
6591c606-5ed7-409f-a741-77d1a13e9c39
Kyriacou, Maria
6234587e-81f1-4e1d-941d-395996f8bda7
Chambers, Marcus J.
6591c606-5ed7-409f-a741-77d1a13e9c39
Kyriacou, Maria
6234587e-81f1-4e1d-941d-395996f8bda7

Chambers, Marcus J. and Kyriacou, Maria (2013) Jackknife estimation with a unit root. Statistics and Probability Letters, 83 (7), 1677-1682. (doi:10.1016/j.spl.2013.03.016).

Record type: Article

Abstract

We study jackknife estimators in a first-order autoregression with a unit root. Non-overlapping sub-sample estimators have different limit distributions, so the jackknife does not fully eliminate first-order bias. We therefore derive explicit limit distributions of the numerator and denominator to calculate the expectations that determine optimal jackknife weights. Simulations show that the resulting jackknife estimator produces substantial reductions in bias and RMSE

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Published date: July 2013
Organisations: Economics

Identifiers

Local EPrints ID: 351304
URI: http://eprints.soton.ac.uk/id/eprint/351304
ISSN: 0167-7152
PURE UUID: 6259e3b4-3f16-4810-94cd-4b9e6a51bd46
ORCID for Maria Kyriacou: ORCID iD orcid.org/0000-0001-7996-2015

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Date deposited: 19 Apr 2013 08:44
Last modified: 14 Mar 2024 13:38

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Contributors

Author: Marcus J. Chambers
Author: Maria Kyriacou ORCID iD

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