Higher order bias correcting moment equation for M-estimation and its higher order efficiency

Artikel

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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 4 ; Year: 2016 ; Issue: 4 ; Pages: 1-19 ; Basel: MDPI

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Econometric and Statistical Methods and Methodology: General
• Thema: third-order stochastic expansion ; bias correction ; M-estimation

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Kim, Kyoo il
• Ereignis: Veröffentlichung
• (wer): MDPI
• (wo): Basel
• (wann): 2016

Weitere Informationen

• DOI: doi:10.3390/econometrics4040048
• Handle: http://hdl.handle.net/10419/171897
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ