Optimal jackknife for unit root models
A new jackknife method is introduced to remove the first order bias in unit root models. It is optimal in the sense that it minimizes the variance among all the jackknife estimators of the form considered in Phillips and Yu (2005) and Chambers and Kyriacou (2013) after the number of subsamples is se...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2015
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/1866 https://ink.library.smu.edu.sg/context/soe_research/article/2866/viewcontent/7271199.pdf |
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| Institution: | Singapore Management University |
| Language: | English |