Finite-Sample Moments of the MLE for the Binary Logit Model

We examine the finite sample properties of the MLE for the Logit model with random covariates. We derive the second order bias and MSE function for the MLE in this model, and undertake some numerical evaluations to illustrate the analytic results. From these numerical results we find, for example, that the bias correction that we provide is effective, and that the bias-corrected estimator is more efficient than the uncorrected MLE.

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Year of publication:	2008-02-01
Authors:	Chen, Qian ; Giles, David E.
Institutions:	Department of Economics, University of Victoria
Subject:	Logit model \| mean squared error \| bias correction

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Extent:	application/pdf
Series:	Econometrics Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	ISSN 1485-6441 Number 0801 21 pages
Classification:	C01 - Econometrics ; C13 - Estimation ; C25 - Discrete Regression and Qualitative Choice Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005800925