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Approximate bias correction in econometrics

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  • MacKinnon, James G.
  • Smith Jr., Anthony A.

Abstract

This paper discusses ways to reduce the bias of consistent estimators that are biased in finite samples. It is necessary only that the bias function, which relates parameter values to bias, should be estimable by computer simulation or by some other method. If so, bias can be reduced or even eliminated. Unfortunately, reducing bias may increase the variance of an estimator.

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File URL: http://www.sciencedirect.com/science/article/B6VC0-3TC6V38-9/2/65d860b731c2e7bb0a3651758fb4cec4
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 85 (1998)
Issue (Month): 2 (August)
Pages: 205-230

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Handle: RePEc:eee:econom:v:85:y:1998:i:2:p:205-230

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Web page: http://www.elsevier.com/locate/jeconom

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References

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  1. Gourieroux, C. & Monfort, A. & Renault, E., 1992. "Indirect Inference," Papers 92.279, Toulouse - GREMAQ.
  2. Davidson, Russell & MacKinnon, James G., 1992. "Regression-based methods for using control variates in Monte Carlo experiments," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 203-222.
  3. James G. MacKinnon & Anthony A. Smith Jr., 1995. "Approximate Bias Correction in Econometrics," Working Papers 919, Queen's University, Department of Economics.
  4. Smith, Anthony A, Jr & Sowell, Fallaw & Zin, Stanley E, 1997. "Fractional Integration with Drift: Estimation in Small Samples," Empirical Economics, Springer, vol. 22(1), pages 103-16.
  5. Russell Davidson & James G. Mackinnon, 1990. "Regression-Based Methods for Using Control and Antithetic Variates in Monte Carlo Experiments," Working Papers 781, Queen's University, Department of Economics.
  6. Chesher, Andrew, 1995. "A Mirror Image Invariance for M-Estimators," Econometrica, Econometric Society, vol. 63(1), pages 207-11, January.
  7. Smith, A A, Jr, 1993. "Estimating Nonlinear Time-Series Models Using Simulated Vector Autoregressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S63-84, Suppl. De.
  8. Sawa, Takamitsu, 1978. "The exact moments of the least squares estimator for the autoregressive model," Journal of Econometrics, Elsevier, vol. 8(2), pages 159-172, October.
  9. Andrews, Donald W K, 1993. "Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models," Econometrica, Econometric Society, vol. 61(1), pages 139-65, January.
  10. Chesher, Andrew & Peters, Simon, 1994. "Symmetry, Regression Design, and Sampling Distributions," Econometric Theory, Cambridge University Press, vol. 10(01), pages 116-129, March.
  11. Orcutt, Guy H & Winokur, Herbert S, Jr, 1969. "First Order Autoregression: Inference, Estimation, and Prediction," Econometrica, Econometric Society, vol. 37(1), pages 1-14, January.
  12. repec:cup:etheor:v:9:y:1993:i:1:p:62-80 is not listed on IDEAS
  13. repec:cup:etheor:v:10:y:1994:i:1:p:116-29 is not listed on IDEAS
  14. Phillips, Peter C. B., 1988. "The ET Interview: Professor James Durbin," Econometric Theory, Cambridge University Press, vol. 4(01), pages 125-157, April.
  15. Kiviet, Jan F. & Phillips, Garry D. A., 1994. "Bias assessment and reduction in linear error-correction models," Journal of Econometrics, Elsevier, vol. 63(1), pages 215-243, July.
  16. Kiviet, Jan F. & Phillips, Garry D.A., 1993. "Alternative Bias Approximations in Regressions with a Lagged-Dependent Variable," Econometric Theory, Cambridge University Press, vol. 9(01), pages 62-80, January.
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