IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

Jackknife estimation with a unit root

  • Chambers, Marcus J.
  • Kyriacou, Maria

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.

If 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.

File URL: http://www.sciencedirect.com/science/article/pii/S0167715213000990
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Article provided by Elsevier in its journal Statistics & Probability Letters.

Volume (Year): 83 (2013)
Issue (Month): 7 ()
Pages: 1677-1682

as
in new window

Handle: RePEc:eee:stapro:v:83:y:2013:i:7:p:1677-1682
Contact details of provider: Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description

Order Information: Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
Web: https://shop.elsevier.com/order?id=505573&ref=505573_01_ooc_1&version=01

References listed on IDEAS
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.:

as in new window
  1. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
  2. Peter C.B. Phillips & Jun Yu, 2003. "Jackknifing Bond Option Prices," Cowles Foundation Discussion Papers 1392, Cowles Foundation for Research in Economics, Yale University.
  3. Bravo, F., 1998. "A Correction factor for unit root test statistics," Discussion Paper Series In Economics And Econometrics 9809, Economics Division, School of Social Sciences, University of Southampton.
  4. 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.
  5. Jensen, J. L. & Wood, Andrew T. A., 1997. "On the non-existence of a Bartlett correction for unit root tests," Statistics & Probability Letters, Elsevier, vol. 35(2), pages 181-187, September.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:83:y:2013:i:7:p:1677-1682. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.