Higher Order Bias Correcting Moment Equation for M-Estimation and Its Higher Order Efficiency
AbstractThis 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. View Full-Text
- Supplementary File 1:
Supplementary (PDF, 211 KB)
Scifeed alert for new publicationsNever miss any articles matching your research from any publisher
- Get alerts for new papers matching your research
- Find out the new papers from selected authors
- Updated daily for 49'000+ journals and 6000+ publishers
- Define your Scifeed now
Kim, K.I. Higher Order Bias Correcting Moment Equation for M-Estimation and Its Higher Order Efficiency. Econometrics 2016, 4, 48.
Kim KI. Higher Order Bias Correcting Moment Equation for M-Estimation and Its Higher Order Efficiency. Econometrics. 2016; 4(4):48.Chicago/Turabian Style
Kim, Kyoo I. 2016. "Higher Order Bias Correcting Moment Equation for M-Estimation and Its Higher Order Efficiency." Econometrics 4, no. 4: 48.
Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.