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The Third-Order Bias of Nonlinear Estimators

Communications in Statistics - Theory and Methods , Volume 37 (16): 2617-2633 – Jan 1, 2008

Details

Publisher
Taylor & Francis
Copyright
© 2008 Informa plc
Subject
Bias correction
ISSN
0361-0926
D.O.I.
10.1080/03610920801983193
Publisher site
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The Third-Order Bias of Nonlinear Estimators

Abstract

The third-order bias of nonlinear estimators is derived and illustrated using a variety of estimators popular in applied econometrics. A simulation using the exponential regression model indicates that the third-order analytical correction reduces bias substantially compared to higher-order bootstrap and Jackknife corrections, particularly in very small samples.
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