We derive an analytic expression for the bias, to O(n-1) of the maximum likelihood estimator of the scale parameter in the half-logistic distribution. Using this expression to bias-correct the estimator is shown to be very effective in terms of bias reduction, without adverse consequences for the estimator’s precision. The analytic bias-corrected estimator is also shown to be dramatically superior to the alternative of bootstrap-bias-correction.
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Paper provided by Department of Economics, University of Victoria in its series Econometrics Working Papers with number
0901.
Length: 12 pages Date of creation: 20 Jan 2009 Date of revision: Handle: RePEc:vic:vicewp:0901
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Find related papers by JEL classification: C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Econometric and Statistical Methods; Specific Distributions C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
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