Second Order Bias of Quasi-MLE for Covariance Structure Models
Several recent papers (e.g., Newey et al., 2005; Newey and Smith, 2004; Anatolyev, 2005) derive general expressions for the second-order bias of the GMM estimator and its first-order equivalents such as the EL estimator. Except for some simulation evidence, it is unknown how these compare to the second-order bias of QMLE of covariance structure models. The paper derives the QMLE bias formulas for this general class of models. The bias -- identical to the EL second-order bias under normality -- depends on the fourth moments of data and remains the same as for EL even for non-normal data so long as the condition for equal asymptotic efficiency of QMLE and GMM derived in Prokhorov (2009) is satisfied.
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- Rilstone, Paul & Srivastava, V. K. & Ullah, Aman, 1996. "The second-order bias and mean squared error of nonlinear estimators," Journal of Econometrics, Elsevier, vol. 75(2), pages 369-395, December.
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