Jackknife estimation of stationary autoregressive models

DOI10.1016/j.jeconom.2012.09.003zbMath1443.62245OpenAlexW1572950718MaRDI QIDQ528128

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

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

Related Items (8)

Optimal bias correction of the log-periodogram estimator of the fractional parameter: a jackknife approach ⋮ On Sample Skewness and Kurtosis ⋮ Jackknife estimation with a unit root ⋮ Improving the estimation and predictions of small time series models ⋮ Overlapping subsampling and invariance to initial conditions ⋮ Least Squares Bias in Time Series with Moderate Deviations from a Unit Root ⋮ Estimation bias and bias correction in reduced rank autoregressions ⋮ Optimal jackknife for unit root models

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