Jackknifed Coefficient

Computing Jackknifed Coefficient Estimates in SAS

May 20, 2019
WRDS/SAS Tutorial
SAS, Jackknifed Coefficient, Discretionary Accruals

Background In certain scenarios, we want to estimate a model’s parameters on the sample for each observation with itself excluded. This can be achieved by estimating the model repeatedly on the leave-one-out samples but is very inefficient. If we estimate the model on the full sample, however, the coefficient estimates will certainly be biased. Thankfully, we have the Jackknife method to correct for the bias, which produces the (Jackknifed) coefficient estimates for each observation. ...