Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/171897 
Authors: 
Year of Publication: 
2016
Citation: 
[Journal:] Econometrics [ISSN:] 2225-1146 [Volume:] 4 [Issue:] 4 [Publisher:] MDPI [Place:] Basel [Year:] 2016 [Pages:] 1-19
Publisher: 
MDPI, Basel
Abstract: 
This paper studies an alternative bias correction for the M-estimator, which is obtained by correcting the moment equations in the spirit of Firth (1993). In particular, this paper compares the stochastic expansions of the analytically-bias-corrected estimator and the alternative estimator and finds that the third-order stochastic expansions of these two estimators are identical. This implies that at least in terms of the third-order stochastic expansion, we cannot improve on the simple one-step bias correction by using the bias correction of moment equations. This finding suggests that the comparison between the one-step bias correction and the method of correcting the moment equations or the fully-iterated bias correction should be based on the stochastic expansions higher than the third order.
Subjects: 
third-order stochastic expansion
bias correction
M-estimation
JEL: 
C10
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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