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A Jackknife Maximum Likelihood Estimator for the Probit Model

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Author Info
Sapra, Sunil K

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Abstract

The 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. Copyright 2002 by Taylor and Francis Group

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Article provided by Taylor and Francis Journals in its journal Applied Economics Letters.

Volume (Year): 9 (2002)
Issue (Month): 2 (February)
Pages: 73-74
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Handle: RePEc:taf:apeclt:v:9:y:2002:i:2:p:73-74

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