Jackknife estimation of stationary autoregressive models

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

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

Recommendations

• Jackknife estimation with a unit root
• Bootstrap, jackknife and COLS: bias and mean squared error in estimation of autoregressive models
• scientific article; zbMATH DE number 4182656
• The jackknife and regression with \(AR(1)\) errors
• Jackknifing in partially linear regression models with serially correlated errors

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)

Cites Work

• Bootstrap methods: another look at the jackknife
• The jackknife and the bootstrap for general stationary observations
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Jackknife and analytical bias reduction for nonlinear panel models.
• Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
• Jackknife, bootstrap and other resampling methods in regression analysis
• Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models
• NOTES ON BIAS IN ESTIMATION
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• On blocking rules for the bootstrap with dependent data
• Consistent autoregressive spectral estimates
• The jackknife and bootstrap
• The use of subseries values for estimating the variance of a general statistic from a stationary sequence
• The exact moments of the least squares estimator for the autoregressive model
• NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION
• The Bias of Autoregressive Coefficient Estimators
• Efficient information theoretic inference for conditional moment restrictions
• The approximate moments of the least squares estimator for the stationary autoregressive model under a general error distribution
• The second-order bias and mean squared error of estimators in time-series models
• Empirical Likelihood-Based Inference in Conditional Moment Restriction Models
• On Bias Reduction in Estimation
• Local GMM estimation of time series models with conditional moment restrictions
• A Trustworthy Jackknife

Cited In (11)

• Optimal bias correction of the log-periodogram estimator of the fractional parameter: a jackknife approach
• Jackknife minimum distance estimation.
• On Sample Skewness and Kurtosis
• Least Squares Bias in Time Series with Moderate Deviations from a Unit Root
• Title not available (Why is that?)
• Optimal jackknife for unit root models
• Improving the estimation and predictions of small time series models
• 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

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

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q528128)