Jackknife bias reduction in autoregressive models with a unit root
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References listed on IDEAS
- Gonzalo, Jesus & Pitarakis, Jean-Yves, 1998. "On the Exact Moments of Asymptotic Distributions in an Unstable AR(1) with Dependent Errors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(1), pages 71-88, February.
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- Chambers, Marcus J., 2013.
"Jackknife estimation of stationary autoregressive models,"
Journal of Econometrics,
Elsevier, vol. 172(1), pages 142-157.
- Chambers, MJ, 2010. "Jackknife Estimation of Stationary Autoregressive Models," Economics Discussion Papers 2786, University of Essex, Department of Economics.
- Hendrik Kaufmannz & Robinson Kruse, 2013. "Bias-corrected estimation in potentially mildly explosive autoregressive models," CREATES Research Papers 2013-10, Department of Economics and Business Economics, Aarhus University.
More about this item
KeywordsJackknife; bias reduction; unit root; moment generating function;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-05-08 (All new papers)
- NEP-ECM-2012-05-08 (Econometrics)
- NEP-ETS-2012-05-08 (Econometric Time Series)
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