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Ordinary Least Squares Bias and Bias Corrections for iid Samples

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  • Lonnie Magee

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File URL: http://socserv.mcmaster.ca/qsep/p/qsep419.pdf
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Bibliographic Info

Paper provided by McMaster University in its series Quantitative Studies in Economics and Population Research Reports with number 419.

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Length: 46 pages
Date of creation: Jun 2007
Date of revision:
Handle: RePEc:mcm:qseprr:419

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Keywords: OLS bias; finite sample moments; Nagar approximation; bias correction; pairs bootstrap The O(n-1) bias and O(n-2) MSE of OLS are derived for iid samples. An approach is suggested for handling nonexistent finite sample moments. Bias corrections based on plug-in; weighting; jackknife and pairs bootstrap methods are equal to Op(n-3/2). Sometimes they are effective at lowering bias and MSE; but not always. In simulations; the bootstrap correction removes more bias than the others; but has a higher MSE. A hypothesis test is given for the presence of this bias. The techniques are applied to survey data on food expenditure; and the estimated bias is small and statistically insignificant.;

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