Second Order Bias of Quasi-MLE for Covariance Structure Models

Artem Prokhorov

No 10001, Working Papers from Concordia University, Department of Economics

Abstract: Several recent papers (e.g., Newey et al., 2005; Newey and Smith, 2004; Anatolyev, 2005) derive general expressions for the second-order bias of the GMM estimator and its first-order equivalents such as the EL estimator. Except for some simulation evidence, it is unknown how these compare to the second-order bias of QMLE of covariance structure models. The paper derives the QMLE bias formulas for this general class of models. The bias -- identical to the EL second-order bias under normality -- depends on the fourth moments of data and remains the same as for EL even for non-normal data so long as the condition for equal asymptotic efficiency of QMLE and GMM derived in Prokhorov (2009) is satisfied.

Keywords: (Q)MLE; GMM; EL; Covariance structures (search for similar items in EconPapers)
JEL-codes: C13 (search for similar items in EconPapers)
Date: 2010-01
New Economics Papers: this item is included in nep-ecm
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Journal Article: Second order bias of quasi-MLE for covariance structure models (2012)
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