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Second and Third Order Bias Reduction for One-Parameter Family Models

Author

Listed:
  • S.L.P. Ferrari
  • D.A. Botter
  • G.M. Cordeiro
  • F. Cribari-Neto

Abstract

In this paper we derive second and third order bias-corrected maximum likelihood estimates in general uniparametric models. We compare the corrected estimates and the usual maximum likelihood estimate in terms of their mean squared errors. We also obtain closed-form expressions for bias-corrected estimates in one-parameter exponential family models. Our results cover many important and commonly used distributions.

Suggested Citation

  • S.L.P. Ferrari & D.A. Botter & G.M. Cordeiro & F. Cribari-Neto, 1995. "Second and Third Order Bias Reduction for One-Parameter Family Models," Econometrics 9505002, University Library of Munich, Germany.
  • Handle: RePEc:wpa:wuwpem:9505002
    Note: 7 pages; paper was written with an implementation of TeX; paper was FTP'ed in two forms: a DVI file and a PostScript file. E-mail to Francisco Cribari-Neto (cribari @ c22c.c-wham.siu.edu).
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    More about this item

    Keywords

    Asymptotic expansion; bias correction; exponential family; maximum likelihood estimate;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs

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