A New Class of Indirect Estimators and Bias Correction
In this paper we define a set of indirect estimators based on moment approximations of the auxilary estimators. We provide results that describe higher order asymptotic properties of these estimators. The introduction of these is motivated by reasons of analytical and computational facilitation. We extend this set to a class of multistep indirect estimators that have potentially useful higher order bias properties. Furthermore, the widely employed "feasibly biased corrected estimator" is an one optimazation step approxiamtion of the suggested on.
|Date of creation:||22 Jul 2010|
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25061, London School of Economics and Political Science, LSE Library.
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1269, Cowles Foundation for Research in Economics, Yale University.
- Andrews, Donald W.K., 2002. "EQUIVALENCE OF THE HIGHER ORDER ASYMPTOTIC EFFICIENCY OF k-STEP AND EXTREMUM STATISTICS," Econometric Theory, Cambridge University Press, vol. 18(05), pages 1040-1085, October.
- Corradi, Valentina & Iglesias, Emma M., 2008. "Bootstrap refinements for QML estimators of the GARCH(1,1) parameters," Journal of Econometrics, Elsevier, vol. 144(2), pages 500-510, June.
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