Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models

• Main Authors: CHEN, Ye, YU, Jun
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2011
• Subjects: Bias reduction; Variance reduction; Vasicek model; Long-span Asymptotics; Autoregression; Econometrics
• 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
• Institution: Singapore Management University

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...