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
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Englisch
- Bibliographic citation
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Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 4 ; Year: 2016 ; Issue: 4 ; Pages: 1-19 ; Basel: MDPI
- Classification
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Wirtschaft
Econometric and Statistical Methods and Methodology: General
- Subject
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third-order stochastic expansion
bias correction
M-estimation
- Event
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Geistige Schöpfung
- (who)
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Kim, Kyoo il
- Event
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Veröffentlichung
- (who)
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MDPI
- (where)
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Basel
- (when)
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2016
- DOI
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doi:10.3390/econometrics4040048
- Handle
- Last update
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10.03.2025, 11:44 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Kim, Kyoo il
- MDPI
Time of origin
- 2016