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Jackknife bias reduction in the presence of a near-unit root

Chambers, Marcus J.; Kyriacou, Maria - In: Econometrics 6 (2018) 1, pp. 1-28

This paper considers the specification and performance of jackknife estimators of the autoregressive coefficient in a … jackknife estimator are derived, and the joint moment generating function (MGF) of two components of these distributions is … obtained and its properties explored. The MGF can be used to derive the weights for an optimal jackknife estimator that removes …

Persistent link: https://www.econbiz.de/10011995212

Gini regressions and heteroskedasticity

Charpentier, Arthur; Ka, Ndéné; Mussard, Stéphane; … - In: Econometrics 7 (2019) 1, pp. 1-16

We propose an Aitken estimator for Gini regression. The suggested A -Gini estimator is proven to be a U-statistics. Monte Carlo simulations are provided to deal with heteroskedasticity and to make some comparisons between the generalized least squares and the Gini regression. A Gini-White test...

Persistent link: https://www.econbiz.de/10012696219