Second order bias of quasi-MLE for covariance structure models

For covariance structure models, the QMLE second-order bias is derived and compared with EL and GMM. Surprisingly, QMLE and EL have the same second-order bias if QMLE and GMM(EL) are equally first-order efficient. Other examples favoring QMLE are given.

MoreLess

Year of publication:	2012
Authors:	Prokhorov, Artem
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 114.2012, 2, p. 195-197
Publisher:	Elsevier
Subject:	(Q)MLE \| EL \| Covariance structures

Online Resource

Check full text access |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

More details

Type of publication:	Article
Classification:	C13 - Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010572241