Jackknife Bias Reduction in the Presence of a Near-Unit Root

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 generating function (MGF) of two components of these distributions is obtained and its properties are explored. The MGF can be used to derive the weights for an optimal jackknife estimator that removes fully the first-order finite sample bias from the estimator. The resulting jackknife estimator is shown to perform well in finite samples and, with a suitable choice of the number of sub-samples, is shown to reduce the overall finite sample root mean squared error as well as bias. However, the optimal jackknife weights rely on knowledge of the near-unit root parameter, which is typically unknown in practice, and so an alternative, feasible, jackknife estimator is pro- posed which achieves the intended bias reduction but does not rely on knowledge of this parameter. This feasible jackknife estimator is also capable of substantial bias and root mean squared error reductions in finite samples across a range of values of the near-unit root parameter and across different sample sizes.