Jackknife bias reduction for simulated maximum likelihood estimator of discrete choice models

Jinyong Hahn and Xueyuan Liu

Economics Letters, 2022, vol. 219, issue C

Abstract: We propose to reduce asymptotic biases of simulated maximum likelihood estimators (SMLE) by using a jackknife method similar to Dhaene and Jochmans (2015). Because the jackknife method does not require an explicit characterization of the bias, it may be a practically attractive alternative to Lee’s (1995) estimator.

Keywords: Simulated maximum likelihood estimator; Split sample jackknife (search for similar items in EconPapers)
JEL-codes: C15 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:219:y:2022:i:c:s0165176522002841

DOI: 10.1016/j.econlet.2022.110784

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