Controlling the bias of robust small-area estimators

Sinha & Rao (2009) proposed estimation procedures designed for small-area means, based on robustified maximum likelihood estimators and robust empirical best linear unbiased predictors. Their methods are of the plug-in type and may be biased. Bias-corrected estimators have been proposed by Chambers et al. (2013). Here, we investigate two new approaches: one relying on the work of Chambers (1986), and the second using the concept of conditional bias to measure the influence of units in the population. These two classes of estimators also include correction terms for the bias but are both fully bias-corrected, in the sense that the corrections account for the potential impact of the other domains on the small area of interest. Monte Carlo simulations suggest that the Sinha--Rao method and the bias-adjusted estimator of Chambers et al. (2013) may exhibit a large bias, while the new procedures often offer lower bias and mean squared error. A parametric bootstrap procedure is considered for constructing confidence intervals. Copyright 2013, Oxford University Press.