Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models
Maximum 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.
|Date of creation:||Jan 2012|
|Publication status:||Published in SMU Economics and Statistics Working Paper Series|
|Contact details of provider:|| Postal: 90 Stamford Road, Singapore 178903|
Phone: 65-6828 0832
Fax: 65-6828 0833
Web page: http://www.economics.smu.edu.sg/
More information through EDIRC
|Order Information:|| Email: |
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.:
- 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.
- Chambers, Marcus J & Kyriacou, Maria, 2010. "Jackknife Bias Reduction in the Presence of a Unit Root," Economics Discussion Papers 2785, University of Essex, Department of Economics.
- 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.
- 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.
- Phillips, Peter C.B. & Magdalinos, Tassos, 2009. "Unit Root And Cointegrating Limit Theory When Initialization Is In The Infinite Past," Econometric Theory, Cambridge University Press, vol. 25(06), pages 1682-1715, December.
- Chambers, Marcus J., 2013.
"Jackknife estimation of stationary autoregressive models,"
Journal of Econometrics,
Elsevier, vol. 172(1), pages 142-157.
- Chambers, Marcus J, 2010. "Jackknife Estimation of Stationary Autoregressive Models," Economics Discussion Papers 2786, University of Essex, Department of Economics.
- Peter C. B. Phillips, 2005.
"Jackknifing Bond Option Prices,"
Review of Financial Studies,
Society for Financial Studies, vol. 18(2), pages 707-742.
- Yu, Jun & Phillips, Peter, 2002. "Jacknifing Bond Option Prices," Working Papers 187, Department of Economics, The University of Auckland.
- Jun Yu & Peter Phillips, 2004. "Jackknifing Bond Option Prices," Econometric Society 2004 North American Winter Meetings 115, Econometric Society.
- Peter C.B. Phillips & Jun Yu, 2003. "Jackknifing Bond Option Prices," Cowles Foundation Discussion Papers 1392, 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.
- repec:esx:essedp:685 is not listed on IDEAS
When requesting a correction, please mention this item's handle: RePEc:siu:wpaper:15-2012. 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: (QL THor)
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.