Finite-sample properties of the maximum likelihood estimator for the binary logit model with random covariates

DOI10.1007/S00362-010-0348-ZzbMATH Open1440.62085OpenAlexW2074969612MaRDI QIDQ452302FDOQ452302

David E. Giles, Qian Chen

Publication date: 20 September 2012

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: http://www.uvic.ca/socialsciences/economics/assets/docs/econometrics/ewp0906.pdf

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zbMATH Keywords

biasmean squared errorbias correctionlogit modelrandom covariates

Mathematics Subject Classification ID

Point estimation (62F10) Applications of statistics to economics (62P20) Generalized linear models (logistic models) (62J12)

Cites Work

• The second-order bias and mean squared error of nonlinear estimators
• Title not available (Why is that?)
• Title not available (Why is that?)
• Corrigendum to: ``The second-order bias and mean squared error of nonlinear estimators
• Finite Sample Econometrics
• Approximate bias correction in econometrics
• Asymptotic properties of the maximum likelihood estimator in dichotomous logit models
• The \(n^{-2}\)-order mean squared errors of the maximum likelihood and the minimum logit chi-square estimator
• A necessary and sufficient condition for second order admissibility with applications to Berkson's bioassay problem
• Is the minimum chi-square estimator the winner in logit regression
• Title not available (Why is that?)
• Title not available (Why is that?)
• Distance Functions and Regular Best Asymptotically Normal Estimates
• Maximum Likelihood and Minimum | chi 2 Estimates of the Logistic Function
• Comments on a paper by T. Amemiya on estimation in a dichotomous logit regression model
• Corrections to: The \(N^{-2}\)-order mean squared errors of the maximum likelihood and the minimum logit chi-squared estimator
• Minimum \(\phi\)-divergence estimator in logistic regression models
• Preliminary phi-divergence test estimators for linear restrictions in a logistic regression model
• A note on GMM estimation of probit models with endogenous regressors

Cited In (4)

• Alternating logistic regressions with improved finite sample properties
• Calibration with low bias
• The effects of sampling strategies on the small sample properties of the logit estimator
• Title not available (Why is that?)

Uses Software

• R

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