Bootstrap, Jackknife and COLS: Bias and Mean Squared Error in Estimation of Autoregressive Models
We compare a number of bias-correction methodologies in terms of mean squared error and remaining bias, including the residual bootstrap, the relatively unexplored Quenouille jackknife, and methods based on analytical approximation of moments. We introduce a new higher-order jackknife estimator for the AR(1) with constant. Simulation results are presented for four different error structures, including GARCH. We include results for a relatively extreme situation where the errors are highly skewed and leptokurtic. It is argued that the bootstrap and analytical-correction (COLS) approaches are to be favoured overall, though the jackknife methods are the least biased. We find that COLS tends to have the lowest mean squared error, though the bootstrap also does well.
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Volume (Year): 4 (2012)
Issue (Month): 2 (November)
Pages: 1-35
| Handle: | RePEc:bpj:jtsmet:v:4:y:2012:i:2:n:1 |
| Contact details of provider: | Web page: https://www.degruyter.com
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| Order Information: | Web: https://www.degruyter.com/view/j/jtse |
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- MacKinnon, James G. & Smith Jr., Anthony A., 1998.
"Approximate bias correction in econometrics,"
Journal of Econometrics,
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- James G. MacKinnon & Anthony A. Smith, Jr., "undated". "Approximate Bias Correction in Econometrics," GSIA Working Papers 1997-36, Carnegie Mellon University, Tepper School of Business.
- James G. MacKinnon & Anthony A. Smith Jr., 1995. "Approximate Bias Correction in Econometrics," Working Papers 919, Queen's University, Department of Economics.
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- Sawa, Takamitsu, 1978. "The exact moments of the least squares estimator for the autoregressive model," Journal of Econometrics, Elsevier, vol. 8(2), pages 159-172, October.
- Kiviet, Jan F. & Phillips, Garry D. A., 1996. "The bias of the ordinary least squares estimator in simultaneous equation models," Economics Letters, Elsevier, vol. 53(2), pages 161-167, November. Full references (including those not matched with items on IDEAS)
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