Liu-Evans Gareth D.; Phillips Garry D. A. - In: Journal of Time Series Econometrics 4 (2012) 2, pp. 1-35
We compare a number of bias-correction methodologies in terms of mean squared error and remaining bias, including the residual bootstrap, the relatively unexplored Quenouille jackknife, and methods based on analytical approximation of moments. We introduce a new higher-order jackknife estimator...