Optimal jackknife for unit root models
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Publication:2344879
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Cites work
- Asymptotic expansions for the mean and variance of the serial correlation coefficient
- Bias in the estimation of the mean reversion parameter in continuous time models
- Bootstrap methods: another look at the jackknife
- Econometric Estimators and the Edgeworth Approximation
- scientific article; zbMATH DE number 3053501 (Why is no real title available?)
- Jackknife estimation of stationary autoregressive models
- Jackknife estimation with a unit root
- Limiting distributions of least squares estimates of unstable autoregressive processes
- On existence of moment of mean reversion estimator in linear diffusion models
- The bootstrap and Edgeworth expansion
- The jackknife and bootstrap
- Towards a unified asymptotic theory for autoregression
- Unit root and cointegrating limit theory when initialization is in the infinite past
Cited in
(5)- The use of bias correction versus the jackknife when testing the mean reversion and long term mean parameters in continuous time models
- Efficient VaR and CVaR measurement via stochastic kriging
- Overlapping subsampling and invariance to initial conditions
- Jackknife estimation with a unit root
- Optimal bias correction of the log-periodogram estimator of the fractional parameter: a jackknife approach
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