Publication Type
Working Paper
Version
publishedVersion
Publication Date
9-2006
Abstract
This paper studies an alternative bias correction for the M-estimator, which is obtained by correcting the moment equation in the spirit of Firth (1993). In particular, this paper compares the stochastic expansions of the analytically bias-corrected estimator and the alternative estimator and finds that the third-order stochastic expansions of these two estimators are identical. This implies that at least in terms of the third order stochastic expansion, we cannot improve on the simple one-step bias correction by using the bias correction of moment equations. Though the result in this paper is for a fixed number of parameters, our intuition may extend to the analytical bias correction of the panel data models with individual specific effects. Noting the M-estimation can nest many kinds of estimators including IV, 2SLS, MLE, GMM, and GEL, our finding is a rather strong result.
Keywords
Third-order Stochastic Expansion, Bias Correction, M-estimation
Discipline
Econometrics
Research Areas
Econometrics
First Page
1
Last Page
41
Publisher
SMU Economics and Statistics Working Paper Series, No. 17-2006
City or Country
Singapore
Citation
KIM, Kyoo-il.
Higher Order Bias Correcting Moment Equation for M-Estimation and Its Higher Order Efficiency. (2006). 1-41.
Available at: https://ink.library.smu.edu.sg/soe_research/901
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Comments
Published in Econometrics 2016, https://doi.org/10.3390/econometrics4040048