Ordinary Least Squares Bias and Bias Corrections for iid Samples

Lonnie Magee ()

Social and Economic Dimensions of an Aging Population Research Papers from McMaster University

Abstract: The O(n-1) bias and O(n-2) MSE of OLS are derived for iid samples. An approach is suggested for handling nonexistent finite sample moments. Bias corrections based on plug-in, weighting, jackknife and pairs bootstrap methods are equal to Op(n-3/2). Sometimes they are effective at lowering bias and MSE, but not always. In simulations, the bootstrap correction removes more bias than the others, but has a higher MSE. A hypothesis test is given for the presence of this bias. The techniques are applied to survey data on food expenditure, and the estimated bias is small and statistically insignificant.

Keywords: OLS bias; finite sample moments; Nagar approximation; bias correction; pairs bootstrap (search for similar items in EconPapers)
JEL-codes: C13 C29 C49 (search for similar items in EconPapers)
Pages: 49 pages
Date: 2007-06
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Related works:
Working Paper: Ordinary Least Squares Bias and Bias Corrections for iid Samples (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:mcm:sedapp:207

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