Overlapping sub-sampling and invariance to initial conditions
This paper studies the use of the overlapping blocking scheme in unit root autoregression. When the underlying process is that of a random walk, the blocksâ€™ initial conditions are not fixed, but are equal to the sum of all the previous observationsâ€™ error terms. When non- overlapping subsamples are used, as first shown by Chambers and Kyriacou (2010), these initial conditions do not disappear asymptotically. In this paper we show that a simple way of overcoming this issue is to use overlapping blocks. By doing so, the effect of these initial conditions vanishes asymptotically. An application of these findings to jackknife estimators indicates that an estimator based on moving-blocks is able to provide obvious reductions to the mean square error
|Date of creation:||04 Dec 2014|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (+44) 23 80592537
Fax: (+44) 23 80593858
Web page: http://www.economics.soton.ac.uk/
More information through EDIRC
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.:
- Peter C.B. Phillips, 1985.
"Time Series Regression with a Unit Root,"
Cowles Foundation Discussion Papers
740R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
- Politis, D. N. & Romano, Joseph P. & Wolf, Michael, 1997. "Subsampling for heteroskedastic time series," Journal of Econometrics, Elsevier, vol. 81(2), pages 281-317, December.
- Ye Chen & Jun Yu, 2012.
"Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models,"
15-2012, Singapore Management University, School of Economics.
- 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.
- Evans, G B A & Savin, N E, 1981. "Testing for Unit Roots: 1," Econometrica, Econometric Society, vol. 49(3), pages 753-79, May.
- 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.
- Peter C. B. Phillips, 2012. "Folklore Theorems, Implicit Maps, and Indirect Inference," Econometrica, Econometric Society, vol. 80(1), pages 425-454, 01.
When requesting a correction, please mention this item's handle: RePEc:stn:sotoec:1203. 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: (Chris Thorn)The email address of this maintainer does not seem to be valid anymore. Please ask Chris Thorn to update the entry or send us the correct address
If references are entirely missing, you can add them using this form.