Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models

Chen Ye () and Jun Yu
Additional contact information
Chen Ye: School of Economics, Singapore Management Unversity

No 12-2011, Working Papers from Singapore Management University, School of Economics

Abstract: Maximum likelihood estimation of the persistence parameter in the discrete time unit root model is known for suffering from a downward bias. The bias is more pronounced in the continuous time unit root model. Recently Chambers and Kyriacou (2010) introduced a new jackknife method to remove the fi rst order bias in the estimator of the persistence parameter in a discrete time unit root model. This paper proposes an improved jackknife estimator of the persistence parameter that works for both the discrete time unit root model and the continuous time unit root model. The proposed jackknife estimator is optimal in the sense that it minimizes the variance. Simulations highlight the performance of the proposed method in both contexts. They show that our optimal jackknife reduces the variance of the jackknife method of Chambers and Kyriacou by at least 10% in both cases.

Keywords: Bias reduction; Variance reduction; Vasicek model; Long-span Asymptotics; Autoregression (search for similar items in EconPapers)
JEL-codes: C11 C15 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2011-10
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-sea
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in SMU Economics and Statistics Working Paper Series

Downloads: (external link)
https://mercury.smu.edu.sg/rsrchpubupload/19490/optimaljackknifing08.pdf
Our link check indicates that this URL is bad, the error code is: 500 Server closed connection without sending any data back

Related works:
Working Paper: Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:siu:wpaper:12-2011

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in Working Papers from Singapore Management University, School of Economics Contact information at EDIRC.
Bibliographic data for series maintained by QL THor ().