Artikel

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

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.

Language
Englisch

Bibliographic citation
Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 4 ; Year: 2016 ; Issue: 4 ; Pages: 1-19 ; Basel: MDPI

Classification
Wirtschaft
Econometric and Statistical Methods and Methodology: General
Subject
third-order stochastic expansion
bias correction
M-estimation

Event
Geistige Schöpfung
(who)
Kim, Kyoo il
Event
Veröffentlichung
(who)
MDPI
(where)
Basel
(when)
2016

DOI
doi:10.3390/econometrics4040048
Handle
Last update
10.03.2025, 11:44 AM CET

Data provider

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Object type

  • Artikel

Associated

  • Kim, Kyoo il
  • MDPI

Time of origin

  • 2016

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