Chambers, Marcus J.; Kyriacou, Maria - Volkswirtschaftliche Fakultät, … - 2012
This paper is concerned with the application of jackknife methods as a means of bias reduction in the estimation of … autoregressive models with a unit root. It is shown that the usual jackknife estimator based on non-overlapping sub-samples does not … remove fully the first-order bias as intended, but that an ‘optimal’ jackknife estimator can be de- fined that is capable of …