Magee, Lonnie - Department of Economics, McMaster University - 2007
@mcmaster.ca
∗
Abstract:
The O(n
-1
) bias and O(n
-2
) MSE of OLS are derived for iid samples. An approach is suggested for handling …
nonexistent finite sample moments. Bias corrections based on plug-in, weighting, jackknife and pairs
bootstrap methods are equal … to O
p
(n
-3/2
). Sometimes they are effective at lowering bias and MSE, but not
always. In simulations, the bootstrap …