Ordinary Least Squares Bias and Bias Corrections for <em>iid</em> Samples

Year of publication:	2007-06
Authors:	Magee, Lonnie
Institutions:	Department of Economics, McMaster University
Subject:	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

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

More details

Extent:	application/pdf
Series:	Quantitative Studies in Economics and Population Research Reports.
Type of publication:	Book / Working Paper
Language:	English
Notes:	46 pages
Classification:	C13 - Estimation ; C29 - Econometric Methods: Single Equation Models. Other ; C49 - Econometric and Statistical Methods: Special Topics. Other
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005181112

A service of the