Second Order Bias of Quasi-MLE for Covariance Structure Models
AbstractSeveral recent papers (e.g., Newey et al., 2005; Newey and Smith, 2004; Anatolyev, 2005) derive general expressions for the second-order bias of the GMM estimator and its first-order equivalents such as the EL estimator. Except for some simulation evidence, it is unknown how these compare to the second-order bias of QMLE of covariance structure models. The paper derives the QMLE bias formulas for this general class of models. The bias -- identical to the EL second-order bias under normality -- depends on the fourth moments of data and remains the same as for EL even for non-normal data so long as the condition for equal asymptotic efficiency of QMLE and GMM derived in Prokhorov (2009) is satisfied.
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Bibliographic InfoPaper provided by Concordia University, Department of Economics in its series Working Papers with number 10001.
Date of creation: Jan 2010
Date of revision:
(Q)MLE; GMM; EL; Covariance structures;
Other versions of this item:
- Prokhorov, Artem, 2012. "Second order bias of quasi-MLE for covariance structure models," Economics Letters, Elsevier, vol. 114(2), pages 195-197.
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
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- Whitney K. Newey & Richard J. Smith, 2004.
"Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators,"
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- Clark, Todd E, 1996.
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American Statistical Association, vol. 14(3), pages 367-73, July.
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- Chamberlain, Gary, 1984. "Panel data," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 22, pages 1247-1318 Elsevier.
- Prokhorov, Artem, 2009.
"On relative efficiency of quasi-MLE and GMM estimators of covariance structure models,"
Elsevier, vol. 102(1), pages 4-6, January.
- Artem Prokhorov, 2008. "On relative efficiency of Quasi-MLE and GMM estimators of covariance structure models," Working Papers 08004, Concordia University, Department of Economics.
- Rilstone, Paul & Srivastava, V. K. & Ullah, Aman, 1996. "The second-order bias and mean squared error of nonlinear estimators," Journal of Econometrics, Elsevier, vol. 75(2), pages 369-395, December.
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