Approximate Bias Correction in Econometrics

James MacKinnon and Anthony Smith

G.R.E.Q.A.M. from Universite Aix-Marseille III

Abstract: This paper discusses ways to reduce the bias of consistent estimators that are biased in finite samples. It is necessary only that the bias function, which relates parameter values to bias, should be estimable by computer simulation or by some other method. If so, bias can be reduced or even eliminated. Unfortunately, reducing bias may increase the variance of an estimator.

Keywords: EVALUATION; ECONOMETRICS (search for similar items in EconPapers)
JEL-codes: C10 C13 C19 (search for similar items in EconPapers)
Pages: 28 pages
Date: 1996
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Citations: View citations in EconPapers (7)

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Related works:
Journal Article: Approximate bias correction in econometrics (1998)
Working Paper: Approximate Bias Correction In Econometrics (1995)
Working Paper: Approximate Bias Correction in Econometrics
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Persistent link: https://EconPapers.repec.org/RePEc:fth:aixmeq:96a14

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