Confidence intervals for intentionally biased estimators

David Kaplan and Xin Liu

Papers from arXiv.org

Abstract: We propose and study three confidence intervals (CIs) centered at an estimator that is intentionally biased to reduce mean squared error. The first CI simply uses an unbiased estimator's standard error; compared to centering at the unbiased estimator, this CI has higher coverage probability for confidence levels above 91.7%, even if the biased and unbiased estimators have equal mean squared error. The second CI trades some of this "excess" coverage for shorter length. The third CI is centered at a convex combination of the two estimators to further reduce length. Practically, these CIs apply broadly and are simple to compute.

Date: 2025-02
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Published in Econometric Reviews 43 (2024) 197-214

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http://arxiv.org/pdf/2502.00450 Latest version (application/pdf)

Related works:
Journal Article: Confidence intervals for intentionally biased estimators (2024)
Working Paper: Confidence Intervals for Intentionally Biased Estimators (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2502.00450

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