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| Tekijä: | MacKinnon, J. G. Smith, A. A. (Jr.) |
| Otsikko: | Approximate bias correction in econometrics |
| Lehti: | Journal of Econometrics
1998 : AUG, VOL. 85:2, p. 205-230 |
| Asiasana: | SIMULATION MODELS |
| Kieli: | eng |
| Tiivistelmä: | The paper discusses methods for reducing the bias of consistent estimators that are biased in finite samples. The methods are available whenever the bias function, which relates the bias of the parameter estimates to the values of the parametres, can be estimated by computer simulation, or, by some other method. The results of the paper are illustrated by applying them to two problems: estimating the auto-regressive parameter in an AR(1) model with a constant term, and estimating a logit model. |
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