Higher Order Bias Correcting Moment Equation for M-Estimation and its Higher Order Efficiency
AbstractThis paper studies an alternative bias correction for the M-estimator, which is obtained by correcting the moment equation in the spirit of Firth (1993). In particular, this paper compares the stochastic expansions of the analytically bias-corrected estimator and the alternative estimator and finds that the third-order stochastic expansions of these two estimators are identical. This implies that at least in terms of the third order stochastic expansion, we cannot improve on the simple one-step bias correction by using the bias correction of moment equations. Though the result in this paper is for a fixed number of parameters, our intuition may extend to the analytical bias correction of the panel data models with individual specific effects. Noting the M-estimation can nest many kinds of estimators including IV, 2SLS, MLE, GMM, and GEL, our finding is a rather strong result.
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Bibliographic InfoPaper provided by Singapore Management University, School of Economics in its series Working Papers with number 17-2006.
Length: 42 pages
Date of creation: Sep 2006
Date of revision:
Publication status: Published in SMU Economics and Statistics Working Paper Series
Find related papers by JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
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CeMMAP working papers
CWP17/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
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