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Almost Unbiased Estimation of the Poisson Regression Model

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Abstract

We derive expressions for the first-order bias of the MLE for a Poisson regression model and show how these can be used to adjust the estimator and reduce bias without increasing MSE. The analytic results are supported by Monte Carlo simulations and an empirical application.

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File URL: http://www.uvic.ca/socialsciences/economics/assets/docs/econometrics/ewp0909.pdf
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Bibliographic Info

Paper provided by Department of Economics, University of Victoria in its series Econometrics Working Papers with number 0909.

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Length: 12 pages
Date of creation: 23 Dec 2009
Date of revision:
Handle: RePEc:vic:vicewp:0909

Note: ISSN 1485-6441
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Postal: PO Box 1700, STN CSC, Victoria, BC, Canada, V8W 2Y2
Phone: (250)721-6197
Fax: (250)721-6214
Web page: http://web.uvic.ca/econ
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Related research

Keywords: Poisson regression; maximum likelihood estimation; bias reduction;

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References

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  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.
  2. Atish R. Ghosh & Anne-Marie Gulde & Holger C. Wolf, 2003. "Exchange Rate Regimes: Choices and Consequences," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262072408, December.
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Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Bias-Corrected MLEs
    by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2012-05-01 16:03:00

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