Second order bias of quasi-MLE for covariance structure models

Artem Prokhorov

Economics Letters, 2012, vol. 114, issue 2, 195-197

Abstract: For covariance structure models, the QMLE second-order bias is derived and compared with EL and GMM. Surprisingly, QMLE and EL have the same second-order bias if QMLE and GMM(EL) are equally first-order efficient. Other examples favoring QMLE are given.

Keywords: (Q)MLE; EL; Covariance structures (search for similar items in EconPapers)
JEL-codes: C13 (search for similar items in EconPapers)
Date: 2012
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Related works:
Working Paper: Second Order Bias of Quasi-MLE for Covariance Structure Models (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:114:y:2012:i:2:p:195-197

DOI: 10.1016/j.econlet.2011.10.009

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