Second and Third Order Bias Reduction for One-Parameter Family Models

In this paper we derive second and third order bias-corrected maximum likelihood estimates in general uniparametric models. We compare the corrected estimates and the usual maximum likelihood estimate in terms of their mean squared errors. We also obtain closed-form expressions for bias-corrected estimates in one-parameter exponential family models. Our results cover many important and commonly used distributions.

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Year of publication:	1995-05-26
Authors:	Ferrari, S.L.P. ; Botter, D.A. ; Cordeiro, G.M. ; Cribari-Neto, F.
Institutions:	EconWPA
Subject:	Asymptotic expansion \| bias correction \| exponential family \| maximum likelihood estimate

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Extent:	application/pdf application/x-dvi application/postscript
Series:	Econometrics.
Type of publication:	Book / Working Paper
Notes:	7 pages; paper was written with an implementation of TeX; paper was FTP'ed in two forms: a DVI file and a PostScript file. E-mail to Francisco Cribari-Neto (cribari @ c22c.c-wham.siu.edu). 7 pages
Classification:	C1 - Econometric and Statistical Methods: General ; C5 - Econometric Modeling ; C8 - Data Collection and Data Estimation Methodology; Computer Programs
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005119184