Jackknife estimation of stationary autoregressive models

DOI10.1016/J.JECONOM.2012.09.003zbMATH Open1443.62245OpenAlexW1572950718MaRDI QIDQ528128FDOQ528128

Authors 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

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

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Cites Work

• scientific article; zbMATH DE number 5071101 (Why is no real title available?)
• scientific article; zbMATH DE number 3782216 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• A Trustworthy Jackknife
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• Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
• Consistent autoregressive spectral estimates
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• Empirical Likelihood-Based Inference in Conditional Moment Restriction Models
• Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models
• Jackknife and analytical bias reduction for nonlinear panel models.
• Jackknife, bootstrap and other resampling methods in regression analysis
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Local GMM estimation of time series models with conditional moment restrictions
• NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION
• NOTES ON BIAS IN ESTIMATION
• On Bias Reduction in Estimation
• On blocking rules for the bootstrap with dependent data
• The Bias of Autoregressive Coefficient Estimators
• The approximate moments of the least squares estimator for the stationary autoregressive model under a general error distribution
• The exact moments of the least squares estimator for the autoregressive model
• The jackknife and bootstrap
• The jackknife and the bootstrap for general stationary observations
• The second-order bias and mean squared error of estimators in time-series models
• The use of subseries values for estimating the variance of a general statistic from a stationary sequence

Cited In (13)

• 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
• Bootstrap, jackknife and COLS: bias and mean squared error in estimation of autoregressive models
• Title not available (Why is no real title available?)
• Optimal jackknife for unit root models
• Improving the estimation and predictions of small time series models
• On sample skewness and kurtosis
• Overlapping subsampling and invariance to initial conditions
• Estimation bias and bias correction in reduced rank autoregressions
• Jackknife estimator for an \(m\)-dependent stationary process
• Jackknife estimation with a unit root
• The jackknife and regression with \(AR(1)\) errors

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