Jackknife estimation with a unit root

DOI10.1016/J.SPL.2013.03.016MaRDI QIDQ383929zbMATH OpenOpenAlexFDO

Authors Marcus J. Chambers, Maria Kyriacou

Publication date 6 December 2013

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2013.03.016

zbMATH Keywords

bias reduction

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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Cites work

• scientific article; zbMATH DE number 3223333 (Why is no real title available?)
• scientific article; zbMATH DE number 957960 (Why is no real title available?)
• A CORRECTION FACTOR FOR UNIT ROOT TEST STATISTICS
• BIAS IN THE ESTIMATION OF AUTOCORRELATIONS
• Bartlett Corrections for Unit Root Test Statistics
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Jackknife estimation of stationary autoregressive models
• Miscellanea. Bartlett correction of the unit root test in autoregressive models
• NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION
• NOTES ON BIAS IN ESTIMATION
• On the non-existence of a Bartlett correction for unit root tests
• Time Series Regression with a Unit Root

Cited in

(8)

• Optimal bias correction of the log-periodogram estimator of the fractional parameter: a jackknife approach
• Jackknife minimum distance estimation.
• Least squares bias in time series with moderate deviations from a unit root
• Optimal jackknife for unit root models
• Overlapping subsampling and invariance to initial conditions
• Estimation bias and bias correction in reduced rank autoregressions
• The use of bias correction versus the jackknife when testing the mean reversion and long term mean parameters in continuous time models
• Jackknife estimation of stationary autoregressive models

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