Approximate Bias Correction in Econometrics
This paper discusses ways to reduce the bias of consistent estimators that are biased in finite samples. It is necessary only that the bias function, which relates parameter values to bias, should be estimable by computer simulation or by some other method. If so, bias can be reduced or even eliminated. Unfortunately, reducing bias may increase the variance of an estimator.
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|Date of creation:||1996|
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"Approximate Bias Correction in Econometrics,"
GSIA Working Papers
1997-36, Carnegie Mellon University, Tepper School of Business.
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92.279, Toulouse - GREMAQ.
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GSIA Working Papers
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- Davidson, Russell & MacKinnon, James G., 1992. "Regression-based methods for using control variates in Monte Carlo experiments," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 203-222.
- Russell Davidson & James G. Mackinnon, 1990. "Regression-Based Methods for Using Control and Antithetic Variates in Monte Carlo Experiments," Working Papers 781, Queen's University, Department of Economics.
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- repec:cup:etheor:v:10:y:1994:i:1:p:116-29 is not listed on IDEAS
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