Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/171897 
Autor:innen: 
Erscheinungsjahr: 
2016
Quellenangabe: 
[Journal:] Econometrics [ISSN:] 2225-1146 [Volume:] 4 [Issue:] 4 [Publisher:] MDPI [Place:] Basel [Year:] 2016 [Pages:] 1-19
Verlag: 
MDPI, Basel
Zusammenfassung: 
This paper studies an alternative bias correction for the M-estimator, which is obtained by correcting the moment equations in the spirit of Firth (1993). In particular, this paper compares the stochastic expansions of the analytically-bias-corrected estimator and the alternative estimator and finds that the third-order stochastic expansions of these two estimators are identical. This implies that at least in terms of the third-order stochastic expansion, we cannot improve on the simple one-step bias correction by using the bias correction of moment equations. This finding suggests that the comparison between the one-step bias correction and the method of correcting the moment equations or the fully-iterated bias correction should be based on the stochastic expansions higher than the third order.
Schlagwörter: 
third-order stochastic expansion
bias correction
M-estimation
JEL: 
C10
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by Logo
Dokumentart: 
Article

Datei(en):
Datei
Größe
916.51 kB





Publikationen in EconStor sind urheberrechtlich geschützt.