Second and Third Order Bias Reduction for One-Parameter Family Models

S.L.P. Ferrari, D.A. Botter, G.M. Cordeiro and F. Cribari-Neto

Econometrics from University Library of Munich, Germany

Abstract: In this paper we derive second and third order bias-corrected maximum likelihood estimates in general uniparametric models. We compare the corrected estimates and the usual maximum likelihood estimate in terms of their mean squared errors. We also obtain closed-form expressions for bias-corrected estimates in one-parameter exponential family models. Our results cover many important and commonly used distributions.

Keywords: Asymptotic expansion; bias correction, exponential family; maximum likelihood estimate (search for similar items in EconPapers)
JEL-codes: C1 C5 C8 (search for similar items in EconPapers)
Pages: 7 pages
Date: 1995-05-26
Note: 7 pages; paper was written with an implementation of TeX; paper was FTP'ed in two forms: a DVI file and a PostScript file. E-mail to Francisco Cribari-Neto (cribari @ c22c.c-wham.siu.edu).
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