Publication Type
Working Paper
Version
publishedVersion
Publication Date
10-2011
Abstract
Maximum likelihood estimation of the persistence parameter in the discrete time unit root model is known for su§ering 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 Örst 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
Discipline
Econometrics
Research Areas
Econometrics
First Page
1
Last Page
27
Publisher
SMU Economics and Statistics Working Paper Series, No. 12-2011
City or Country
Singapore
Citation
CHEN, Ye and YU, Jun.
Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models. (2011). 1-27.
Available at: https://ink.library.smu.edu.sg/soe_research/1313
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.