Approximate bias correction in econometrics

DOI10.1016/S0304-4076(97)00099-7zbMATH Open0961.62111OpenAlexW2141312445MaRDI QIDQ1298413FDOQ1298413

Anthony A. jun. Smith, James G. Mackinnon

Publication date: 5 June 2001

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

Full work available at URL: https://doi.org/10.1016/s0304-4076(97)00099-7

zbMATH Keywords

bootstrapmean squared errorlogit modelbias functionAR(1)

Mathematics Subject Classification ID

Point estimation (62F10) Applications of statistics to economics (62P20)

Cites Work

• Title not available (Why is that?)
• Bootstrap confidence intervals. With comments and a rejoinder by the authors
• Prepivoting to reduce level error of confidence sets
• Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models
• The bootstrap and Edgeworth expansion
• BIAS IN THE ESTIMATION OF AUTOCORRELATIONS
• The exact moments of the least squares estimator for the autoregressive model
• NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION
• Bias assessment and reduction in linear error-correction models
• Encompassing and indirect inference
• Approximate bias correction in econometrics
• The \(n^{-2}\)-order mean squared errors of the maximum likelihood and the minimum logit chi-square estimator
• A Mirror Image Invariance for M-Estimators
• First Order Autoregression: Inference, Estimation, and Prediction

Cited In (69)

• Confidence intervals for the ratio between two means of Birnbaum-Saunders distributions
• Simulation-Based Estimation Methods for Financial Time Series Models
• Analytic bias correction for maximum likelihood estimators when the bias function is non-constant
• Least Squares Bias in Time Series with Moderate Deviations from a Unit Root
• Confidence intervals for the variance and difference of variances of Birnbaum-Saunders distributions
• A class of computational methods to reduce selection bias when designing phase 3 clinical trials
• Confidence Interval Estimation for the Mean of Zero-Inflated Birnbaum–Saunders Distribution
• Improved point estimation for inverse gamma regression models
• The effects of sampling strategies on the small sample properties of the logit estimator
• On the estimation bias in first-order bifurcating autoregressive models
• Inferences from logistic regression models in the presence of small samples, rare events, nonlinearity, and multicollinearity with observational data
• Improved point estimation for the Kumaraswamy distribution
• Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model
• Using the bootstrap for finite sample confidence intervals of the log periodogram regression
• Bias-adjusted estimation in the ARX(1) model
• Approximating and reducing bias in 2SLS estimation of dynamic simultaneous equation models
• Moment approximation for least‐squares estimators in dynamic regression models with a unit root
• Nearly weighted risk minimal unbiased estimation
• Improving the reliability of bootstrap tests with the fast double bootstrap
• Improved variance estimation of maximum likelihood estimators in stable first-order dynamic regression models
• The Third-Order Bias of Nonlinear Estimators
• Bootstrap prediction intervals for autoregressive time series
• Mean absolute percentage error and bias in economic forecasting
• Estimation in conditional first order autoregression with discrete support
• A quadratic bootstrap method and improved estimation in logistic regression.
• New distribution theory for the estimation of structural break point in mean
• Noninformative priors and frequentist risks of Bayesian estimators of vector-autoregressive models
• Adjusted estimates and Wald statistics for the AR(1) model with constant
• On the speed of adjustment in ESTAR models when allowance is made for bias in estimation
• Bootstrap-based improved estimators for the two-parameter Birnbaum–Saunders distribution
• Improved parameter estimation of the log-logistic distribution with applications
• The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators
• Finite-sample properties of the maximum likelihood estimator for the binary logit model with random covariates
• Improved maximum-likelihood estimation in a regression model with general parametrization
• Heteroscedasticity-robust estimation of autocorrelation
• Bias Reduction through First-order Mean Correction, Bootstrapping and Recursive Mean Adjustment
• Improved statistical inference for the two-parameter Birnbaum-Saunders distribution
• Bootstrap methods for the empirical study of decision-making and information flows in social systems
• On the Bias of the Maximum Likelihood Estimator for the Two-Parameter Lomax Distribution
• A solution to the weak instrument bias in 2SLS estimation: indirect inference with stochastic approximation
• Improved interval estimation of long run response from a dynamic linear model: a highest density region approach
• The indirect method: inference based on intermediate statistics -- a synthesis and examples
• Bias reduction for the maximum likelihood estimator of the doubly-truncated Poisson distribution
• On bartlett and bartlett-type corrections francisco cribari-neto
• Interval estimation for the shape and scale parameters of the Birnbaum-Saunders distribution
• Improving the estimation and predictions of small time series models
• Approximate bias correction in econometrics
• Sequences of bias-adjusted covariance matrix estimators under heteroskedasticity of unknown form
• On least-squares bias in the \(AR(p)\) model: Bias correction using the bootstrap methods
• Simulation-Based Bias Correction Methods for Complex Models
• Model-based INAR bootstrap for forecasting INAR\((p)\) models
• Intrinsic Bayesian estimation of linear time series models
• Improved estimation of clutter properties in speckled imagery.
• A Fast Iterated Bootstrap Procedure for Approximating the Small-Sample Bias
• Estimation bias and bias correction in reduced rank autoregressions
• Bias correction for time series factor models
• Improving the finite sample performance of autoregression estimators in dynamic factor models: A bootstrap approach
• Estimating labor force joiners and leavers using a heterogeneity augmented two-tier stochastic frontier
• A panel data approach to economic forecasting: the bias-corrected average forecast
• The impact of demand parameter uncertainty on the bullwhip effect
• Title not available (Why is that?)
• Econometric analysis of continuous time models: a survey of Peter Phillips's work and some new results
• Bias in the estimation of the mean reversion parameter in continuous time models
• Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models
• Distribution under elliptical symmetry of a distance-based multivariate coefficient of variation
• Improved estimators for a general class of beta regression models
• Improved point and interval estimation for a beta regression model
• Estimating Functions in Indirect Inference
• Heteroskedasticity-consistent covariance matrix estimation:white's estimator and the bootstrap^∗

Uses Software

• bootstrap

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