The Lomax (Pareto II) distribution has found wide application in a variety of fields. We analyze the second-order bias of the maximum likelihood estimators of its parameters for finite sample sizes, and show that this bias is positive. We derive an analytic bias correction which reduces the...

Testing for multivariate cointegration when the data exhibit structural breaks is a problem that is encountered frequently in empirical economic analysis. The standard tests must be modified in this situation, and the asymptotic distributions of the test statistics change accordingly. We supply...

We derive analytic expressions for the biases, to O(n-1), of the maximum likelihood estimators of the parameters of the generalized Pareto distribution. Using these expressions to bias-correct the estimators is found to be extremely effective in terms of bias reduction, and can also result in a...

We develop and evaluate analytic and bootstrap bias-corrected maximum likelihood estimators for the shape parameter in the Nakagami distribution. This distribution is widely used in a variety of disciplines, and the corresponding estimator of its scale parameter is trivially unbiased. We find...