This paper considers the specification and performance of jackknife estimators of the autoregressive coefficient in a model with a near-unit root. The limit distributions of sub-sample estimators that are used in the construction of the jackknife estimator are derived, and the joint moment...

The author develops and extends the asymptotic F - and t -test theory in linear regression models where the regressors could be deterministic trends, unit-root processes, near-unit-root processes, among others. The author considers both the exogenous case where the regressors and the regression...