Optimal jackknife for unit root models

DOI10.1016/J.SPL.2014.12.014zbMATH Open1396.62200OpenAlexW2076138960MaRDI QIDQ2344879FDOQ2344879

Authors: Ye Chen, Jun Yu 

Publication date: 18 May 2015

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

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/1866

Recommendations

• Jackknife estimation with a unit root
• Jackknife estimation of stationary autoregressive models
• Optimal bias correction of the log-periodogram estimator of the fractional parameter: a jackknife approach
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• Overlapping subsampling and invariance to initial conditions

zbMATH Keywords

variance reductionjackknifebias reductionautoregression

Mathematics Subject Classification ID

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

Cites Work

• Asymptotic expansions for the mean and variance of the serial correlation coefficient
• Bootstrap methods: another look at the jackknife
• Title not available (Why is that?)
• Limiting distributions of least squares estimates of unstable autoregressive processes
• The jackknife and bootstrap
• Towards a unified asymptotic theory for autoregression
• The bootstrap and Edgeworth expansion
• Unit root and cointegrating limit theory when initialization is in the infinite past
• Econometric Estimators and the Edgeworth Approximation
• Jackknife estimation with a unit root
• Jackknife estimation of stationary autoregressive models
• Bias in the estimation of the mean reversion parameter in continuous time models
• On existence of moment of mean reversion estimator in linear diffusion models

Cited In (5)

• Optimal bias correction of the log-periodogram estimator of the fractional parameter: a jackknife approach
• Overlapping subsampling and invariance to initial conditions
• Efficient VaR and CVaR measurement via stochastic kriging
• The use of bias correction versus the jackknife when testing the mean reversion and long term mean parameters in continuous time models
• Jackknife estimation with a unit root

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