IDEAS home Printed from https://ideas.repec.org/p/vic/vicewp/0801.html
   My bibliography  Save this paper

Finite-Sample Moments of the MLE for the Binary Logit Model

Author

Listed:

Abstract

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.

Suggested Citation

  • Qian Chen & David E. Giles, 2008. "Finite-Sample Moments of the MLE for the Binary Logit Model," Econometrics Working Papers 0801, Department of Economics, University of Victoria.
    • Handle: RePEc:vic:vicewp:0801
    Note: ISSN 1485-6441
    as

    Download full text from publisher

    File URL: https://www.uvic.ca/socialsciences/economics/_assets/docs/econometrics/ewp0801.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Logit model; mean squared error; bias correction;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:vic:vicewp:0801. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kali Moon (email available below). General contact details of provider: https://edirc.repec.org/data/devicca.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.