Jackknife estimation of stationary autoregressive models

DOI10.1016/J.JECONOM.2012.09.003zbMath1443.62245OpenAlexW1572950718MaRDI QIDQ528128

Marcus J. Chambers

Publication date: 12 May 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://repository.essex.ac.uk/2786/1/dp684.pdf

zbMATH Keywords

biasjackknifeautoregression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Nonparametric statistical resampling methods (62G09)

Related Items (8)

Optimal bias correction of the log-periodogram estimator of the fractional parameter: a jackknife approach ⋮ On Sample Skewness and Kurtosis ⋮ Jackknife estimation with a unit root ⋮ Improving the estimation and predictions of small time series models ⋮ Overlapping subsampling and invariance to initial conditions ⋮ Least Squares Bias in Time Series with Moderate Deviations from a Unit Root ⋮ Estimation bias and bias correction in reduced rank autoregressions ⋮ Optimal jackknife for unit root models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Efficient information theoretic inference for conditional moment restrictions
• The second-order bias and mean squared error of estimators in time-series models
• Local GMM estimation of time series models with conditional moment restrictions
• Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
• The use of subseries values for estimating the variance of a general statistic from a stationary sequence
• Consistent autoregressive spectral estimates
• The exact moments of the least squares estimator for the autoregressive model
• Bootstrap methods: another look at the jackknife
• Jackknife, bootstrap and other resampling methods in regression analysis
• The jackknife and the bootstrap for general stationary observations
• The jackknife and bootstrap
• THE APPROXIMATE MOMENTS OF THE LEAST SQUARES ESTIMATOR FOR THE STATIONARY AUTOREGRESSIVE MODEL UNDER A GENERAL ERROR DISTRIBUTION
• NOTES ON BIAS IN ESTIMATION
• The Bias of Autoregressive Coefficient Estimators
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• On blocking rules for the bootstrap with dependent data
• Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models
• Empirical Likelihood-Based Inference in Conditional Moment Restriction Models
• A Trustworthy Jackknife
• On Bias Reduction in Estimation
• NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION

This page was built for publication: Jackknife estimation of stationary autoregressive models