Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models
Maximum likelihood estimation of the persistence parameter in the discrete time unit root model is known for su§ering from a downward bias. The bias is more pronounced in the continuous time unit root model. Recently Chambers and Kyriacou (2010) introduced a new jackknife method to remove the Örst o...
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2011
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| Online Access: | https://ink.library.smu.edu.sg/soe_research/1313 https://ink.library.smu.edu.sg/context/soe_research/article/2312/viewcontent/optimaljackknifing08.pdf |
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| Institution: | Singapore Management University |
| Language: | English |