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.

Object Details

• Language: Englisch

References and Relationships

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

Classification and Topics

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

Contributors, Places and Time

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

Further information

• DOI: doi:10.3390/econometrics4040048
• Handle: http://hdl.handle.net/10419/171897
• Last update: 10.03.2025, 11:44 AM CET