We examine the finite sample properties of the MLE for the Logit model with random covariates. We derive the second order bias and MSE function for the MLE in this model, and undertake some numerical evaluations to illustrate the analytic results. From these numerical results we find, for example, that the bias correction that we provide is effective, and that the bias-corrected estimator is more efficient than the uncorrected MLE.
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Paper provided by Department of Economics, University of Victoria in its series Econometrics Working Papers with number
0801.
Length: 21 pages Date of creation: 01 Feb 2008 Date of revision: Handle: RePEc:vic:vicewp:0801
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