A jackknife maximum likelihood estimator for the probit model
AbstractThe maximum likelihood estimator for the Probit model can be substantially biased in small samples.This paper proposes a bias-corrected jackknife maximum likelihood estimator (JMLE) for the Probit model which corrects bias up to O(1/n-squared) unlike the ordinary MLE which corrects bias up to O(1/n). An application of the JMLE to Spector and Mazzeo (1980) data for analysing the effectiveness of a new method of teaching economics is also presented.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 9 (2002)
Issue (Month): 2 ()
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Web page: http://www.tandfonline.com/RAEL20
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- Reed, W. Robert & Webb, Rachel S., 2011.
"Estimating standard errors for the Parks model: Can jackknifing help?,"
Economics - The Open-Access, Open-Assessment E-Journal,
Kiel Institute for the World Economy, vol. 5(1), pages 1-14.
- Reed, W. Robert & Webb, Rachel S., 2010. "Estimating standard errors for the Parks model: Can jackknifing help?," Economics Discussion Papers 2010-23, Kiel Institute for the World Economy.
- W. Robert Reed & Rachel S. Webb, 2009. "Estimating Standard Errors For The Parks Model: Can Jackknifing Help?," Working Papers in Economics 09/18, University of Canterbury, Department of Economics and Finance.
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