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.
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Publisher Info
Paper provided by EconWPA in its series Econometrics with number
9505002.
Length: 7 pages Date of creation: 26 May 1995 Date of revision: 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). Contact details of provider: Web page: http://129.3.20.41
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Find related papers by JEL classification: C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General C5 - Mathematical and Quantitative Methods - - Econometric Modeling C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs