Chen, Qian; Giles, David E. - Department of Economics, University of Victoria - 2009
covariates. Analytic expressions for the first-order bias and second-order mean squared error for this estimator are derived, and … bias-adjusted maximum likelihood estimator, constructed by subtracting the estimated first-order bias from the original … estimator, are investigated in a Monte Carlo experiment. Correcting the estimator for its first-order bias is found to be …