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|
|Date of revision:|
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- Kiviet, Jan F. & Phillips, Garry D.A., 1993. "Alternative Bias Approximations in Regressions with a Lagged-Dependent Variable," Econometric Theory, Cambridge University Press, vol. 9(01), pages 62-80, January.
- James G. MacKinnon & Anthony A. Smith, Jr., .
"Approximate Bias Correction in Econometrics,"
GSIA Working Papers
1997-36, Carnegie Mellon University, Tepper School of Business.
- Tony Smith & Fallaw Sowell & Stanley Zin, .
"Fractional integration with Drift: Estimation in Small Samples,"
GSIA Working Papers
22, Carnegie Mellon University, Tepper School of Business.
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- Gourieroux, C & Monfort, A & Renault, E, 1993.
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- Sawa, Takamitsu, 1978. "The exact moments of the least squares estimator for the autoregressive model," Journal of Econometrics, Elsevier, vol. 8(2), pages 159-172, October.
- 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.
- Phillips, Peter C. B., 1988. "The ET Interview: Professor James Durbin," Econometric Theory, Cambridge University Press, vol. 4(01), pages 125-157, April.
- Chesher, Andrew & Peters, Simon, 1994. "Symmetry, Regression Design, and Sampling Distributions," Econometric Theory, Cambridge University Press, vol. 10(01), pages 116-129, March.
- Kiviet, Jan F. & Phillips, Garry D. A., 1994. "Bias assessment and reduction in linear error-correction models," Journal of Econometrics, Elsevier, vol. 63(1), pages 215-243, July.
- repec:cup:etheor:v:10:y:1994:i:1:p:116-29 is not listed on IDEAS
- Andrews, Donald W K, 1993. "Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models," Econometrica, Econometric Society, vol. 61(1), pages 139-65, January.
- repec:cup:etheor:v:9:y:1993:i:1:p:62-80 is not listed on IDEAS
- 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.
- Smith, A A, Jr, 1993. "Estimating Nonlinear Time-Series Models Using Simulated Vector Autoregressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S63-84, Suppl. De.
- Chesher, Andrew, 1995. "A Mirror Image Invariance for M-Estimators," Econometrica, Econometric Society, vol. 63(1), pages 207-11, January.
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