Ordinary Least Squares Bias and Bias Corrections for iid Samples

Lonnie Magee ()

Quantitative Studies in Economics and Population Research Reports from McMaster University

Keywords: OLS bias; finite sample moments; Nagar approximation; bias correction; pairs bootstrap 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. (search for similar items in EconPapers)
JEL-codes: C13 C29 C49 (search for similar items in EconPapers)
Pages: 46 pages
Date: 2007-06
New Economics Papers: this item is included in nep-ecm
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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:qseprr:419

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