Jackknife estimation with a unit root
We study jackknife estimators in a first-order autoregression with a unit root. Non-overlapping sub-sample estimators have different limit distributions, so the jackknife does not fully eliminate first-order bias. We therefore derive explicit limit distributions of the numerator and denominator to c...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
2013-07.
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| Subjects: | |
| Online Access: | Get fulltext |