Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models
AbstractMaximum likelihood estimation of the persistence parameter in the discrete time unit root model is known for suffering from a downward bias. The bias is more pronounced in the continuous time unit root model. Recently Chambers and Kyriacou (2010) introduced a new jackknife method to remove the .rst order bias in the estimator of the persistence parameter in a discrete time unit root model. This paper proposes an improved jackknife estimator of the persistence parameter that works for both the discrete time unit root model and the continuous time unit root model. The proposed jackknife estimator is optimal in the sense that it minimizes the variance. Simulations highlight the performance of the proposed method in both contexts. They show that our optimal jackknife reduces the variance of the jackknife method of Chambers and Kyriacou by at least 10% in both cases.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Singapore Management University, School of Economics in its series Working Papers with number 15-2012.
Length: 28 pages
Date of creation: Jan 2012
Date of revision:
Publication status: Published in SMU Economics and Statistics Working Paper Series
Other versions of this item:
- Ye Chen & Jun Yu, 2011. "Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models," Working Papers 12-2011, Singapore Management University, School of Economics.
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-04-17 (All new papers)
- NEP-ETS-2012-04-17 (Econometric Time Series)
- NEP-SEA-2012-04-17 (South East Asia)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Jinyong Hahn & Whitney Newey, 2003.
"Jackknife and analytical bias reduction for nonlinear panel models,"
CeMMAP working papers
CWP17/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Jinyong Hahn & Whitney Newey, 2004. "Jackknife and Analytical Bias Reduction for Nonlinear Panel Models," Econometrica, Econometric Society, vol. 72(4), pages 1295-1319, 07.
- Jun Yu, 2007.
"Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models,"
CoFie-06-2008, Sim Kee Boon Institute for Financial Economics, revised Oct 2008.
- Yu, Jun, 2012. "Bias in the estimation of the mean reversion parameter in continuous time models," Journal of Econometrics, Elsevier, vol. 169(1), pages 114-122.
- Jun Yu, 2009. "Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models," Working Papers 16-2009, Singapore Management University, School of Economics.
- Jun Yu, 2009. "Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models," Microeconomics Working Papers 23045, East Asian Bureau of Economic Research.
- Phillips, Peter C.B. & Magdalinos, Tassos, 2009.
"Unit Root And Cointegrating Limit Theory When Initialization Is In The Infinite Past,"
Cambridge University Press, vol. 25(06), pages 1682-1715, December.
- Peter C.B. Phillips & Tassos Magdalinos, 2008. "Unit Root and Cointegrating Limit Theory When Initialization Is in the Infinite Past," Cowles Foundation Discussion Papers 1655, Cowles Foundation for Research in Economics, Yale University.
- Benjamin Chiquoine & Erik Hjalmarsson, 2008.
"Jackknifing stock return predictions,"
International Finance Discussion Papers
932, Board of Governors of the Federal Reserve System (U.S.).
- Tang, Cheng Yong & Chen, Song Xi, 2009. "Parameter estimation and bias correction for diffusion processes," Journal of Econometrics, Elsevier, vol. 149(1), pages 65-81, April.
- Marcus J Chambers & Maria Kyriacou, 2010. "Jackknife Bias Reduction in the Presence of a Unit Root," Economics Discussion Papers 685, University of Essex, Department of Economics.
- Kyriacou, Maria, 2012. "Overlapping sub-sampling and invariance to initial conditions," Discussion Paper Series In Economics And Econometrics 1203, Economics Division, School of Social Sciences, University of Southampton.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (QL THor).
If references are entirely missing, you can add them using this form.