The second-order bias and mean squared error of nonlinear estimators

DOI10.1016/0304-4076(96)89457-7MaRDI QIDQ1126480zbMATHOpenAlexFDO

Authors Paul Rilstone, Aman Ullah, Virendra K. Srivastava

Publication date 8 December 1996

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4076(96)89457-7

zbMATH Keywords

generalized method of moments estimatorsmaximum likelihoodMonte Carlomean squared errornonlinear least squaressecond-order biasstochastic expansionsnonlinear estimatorsfinite-sample properties

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) General nonlinear regression (62J02) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20)

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• The Stochastic Difference Between Econometric Statistics
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• The bootstrap and Edgeworth expansion
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Cited in

(47)

• Bias-correction for Weibull common shape estimation
• Bias in the estimation of the mean reversion parameter in continuous time models
• Edgeworth approximations for semiparametric instrumental variable estimators and test statis\-tics.
• Long difference instrumental variables estimation for dynamic panel models with fixed effects
• A class of indirect inference estimators: higher-order asymptotics and approximate bias correction
• Approximating and reducing bias in 2SLS estimation of dynamic simultaneous equation models
• Averaging of an increasing number of moment condition estimators
• Efficient estimation using the characteristic function
• Second order bias of quasi-MLE for covariance structure models
• On the validity of Edgeworth expansions and moment approximations for three indirect inference estimators
• Improved likelihood inferences for Weibull regression model
• Saddlepoint expansions for GEL estimators
• The second-order bias of quantile estimators
• Smoothed quantile regression for panel data
• SECOND-ORDER BIAS REDUCTION FOR NONLINEAR PANEL DATA MODELS WITH FIXED EFFECTS BASED ON EXPECTED QUANTITIES
• Finite sample properties of maximum likelihood estimator in spatial models
• Higher order mean squared error of generalized method of moments estimators for nonlinear models
• Efficient bias correction for cross-section and panel data
• Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model
• First and second order asymptotic bias correction of nonlinear estimators in a non-parametric setting and an application to the smoothed maximum score estimator
• On sample skewness and kurtosis
• Fixed effects estimation of structural parameters and marginal effects in panel probit models
• The empirical saddlepoint estimator
• Edgeworth expansions for GEL estimators
• A note on the inefficiency of non-linear estimators
• The second-order asymptotic properties of asymmetric least squares estimation
• On the optimality of averaging in distributed statistical learning
• The Third-Order Bias of Nonlinear Estimators
• Second-order nonlinear least squares estimation
• The second-order bias and mean squared error of estimators in time-series models
• Parametric modeling of quantile regression coefficient functions with longitudinal data
• A general method for third-order bias and variance corrections on a nonlinear estimator
• Finite-sample properties of the maximum likelihood estimator for the Poisson regression model with random covariates
• Optimal bandwidth selection for robust generalized method of moments estimation
• Estimation bias and feasible conditional forecasts from the first-order moving average model
• Finite-sample moments of the coefficient of variation
• Bias reduction in nonlinear and dynamic panels in the presence of cross-section dependence
• The efficiency of the second-order nonlinear least squares estimator and its extension
• On skewness and kurtosis of econometric estimators
• Edgeworth and saddlepoint expansions for nonlinear estimators
• Specification tests based on MCMC output
• GEL estimation and tests of spatial autoregressive models
• Finite-sample properties of the maximum likelihood estimator for the binary logit model with random covariates
• Local intrinsic dimension estimation by generalized linear modeling
• A general result on the estimation bias of ARMA models
• Bias in local projections
• The ABC of simulation estimation with auxiliary statistics

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