Chambers, Marcus J.; Kyriacou, Maria - In: Statistics & Probability Letters 83 (2013) 7, pp. 1677-1682
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...
