This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Finite-Sample Properties of the Maximum Likelihood Estimator for the Binary Logit Model With Random Covariates

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Qian Chen () (School of Public Finance & Public Policy, Central University of Finance & Economics, People's Republic of China)
David E. Giles () (Department of Economics, University of Victoria)

Additional information is available for the following registered author(s):

Abstract

We examine the finite sample properties of the maximum likelihood estimator for the binary logit model with random covariates. Analytic expressions for the first-order bias and second-order mean squared error function for the maximum likelihood estimator in this model are derived, and we undertake some numerical evaluations to analyze and illustrate these analytic results for the single covariate case. For various data distributions, the bias of the estimator is signed the same as the covariate’s coefficient, and both the absolute bias and the mean squared errors increase symmetrically with the absolute value of that parameter. The behaviour of a bias-adjusted maximum likelihood estimator, constructed by subtracting the (maximum likelihood) estimator of the first-order bias from the original estimator, is examined in a Monte Carlo experiment. This bias-correction is effective in all of the cases considered, and is recommended when the logit model is estimated by maximum likelihood with small samples.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://web.uvic.ca/econ/research/papers/ewp0906.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Department of Economics, University of Victoria in its series Econometrics Working Papers with number 0906.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 22 pages
Date of creation: 05 Aug 2009
Date of revision:
Handle: RePEc:vic:vicewp:0906

Note: ISSN 1485-6441
Contact details of provider:
Postal: PO Box 1700, STN CSC, Victoria, BC, Canada, V8W 2Y2
Phone: (250)721-8540
Fax: (250)721-6214
Web page: http://web.uvic.ca/econ
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (David Giles).

Related research
Keywords: Logit model; bias; mean squared error; bias correction; random covariates;

Other versions of this item:

Find related papers by JEL classification:
C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models

This paper has been announced in the following NEP Reports:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. MacKinnon, James G. & Smith Jr., Anthony A., 1998. "Approximate bias correction in econometrics," Journal of Econometrics, Elsevier, vol. 85(2), pages 205-230, August. [Downloadable!] (restricted)
    Other versions:
  2. M. Menéndez & L. Pardo & M. Pardo, 2009. "Preliminary phi-divergence test estimators for linear restrictions in a logistic regression model," Statistical Papers, Springer, vol. 50(2), pages 277-300, March. [Downloadable!] (restricted)
  3. Hughes, Gordon A. & Savin, N. E., 1994. "Is the minimum chi-square estimator the winner in logit regression?," Journal of Econometrics, Elsevier, vol. 61(2), pages 345-366, April. [Downloadable!] (restricted)
  4. Gourieroux, Christian & Monfort, Alain, 1981. "Asymptotic properties of the maximum likelihood estimator in dichotomous logit models," Journal of Econometrics, Elsevier, vol. 17(1), pages 83-97, September. [Downloadable!] (restricted)
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Qian Chen & David E. Giles, 2009. "Finite-Sample Properties of the Maximum Likelihood Estimator for the Poisson Regression Model With Random Covariates," Econometrics Working Papers 0907, Department of Economics, University of Victoria. [Downloadable!]
Statistics
Access and download statistics

Did you know? Data contributors to RePEc receive monthly emails with details about downloads and abstract views of their works.

This page was last updated on 2009-11-25.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.