Finite-Sample Moments of the MLE for the Binary Logit Model
Qian Chen and
David Giles ()
No 801, Econometrics Working Papers from Department of Economics, University of Victoria
We examine the finite sample properties of the MLE for the Logit model with random covariates. We derive the second order bias and MSE function for the MLE in this model, and undertake some numerical evaluations to illustrate the analytic results. From these numerical results we find, for example, that the bias correction that we provide is effective, and that the bias-corrected estimator is more efficient than the uncorrected MLE.
Keywords: Logit model; mean squared error; bias correction (search for similar items in EconPapers)
JEL-codes: C01 C13 C25 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-dcm and nep-ecm
Note: ISSN 1485-6441
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Persistent link: https://EconPapers.repec.org/RePEc:vic:vicewp:0801
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