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Ordinary Least Squares Bias and Bias Corrections for iid Samples

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Author Info
Lonnie Magee

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Abstract

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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File URL: http://socserv2.socsci.mcmaster.ca/~sedap/p/sedap207.pdf
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Publisher Info
Paper provided by McMaster University in its series Social and Economic Dimensions of an Aging Population Research Papers with number 207.

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Length: 49 pages
Date of creation: Jun 2007
Date of revision:
Handle: RePEc:mcm:sedapp:207

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Related research
Keywords: OLS bias; finite sample moments; Nagar approximation; bias correction; pairs bootstrap;

Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C29 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Other
C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other

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