Approximate Bias Correction in Econometrics

Research, Preprint English OPEN
James G. MacKinnon; Anthony A. Smith Jr.;
  • Publisher: Kingston (Ontario): Queen's University, Department of Economics
  • Subject: mean squared error | C13 | simulation | bias function | finite samples | bias function, mean squared error, simulation, finite samples
    • jel: jel:C13
      ddc: ddc:330

This paper discusses ways to reduce the bias of consistent estimators that are biased in finite samples. It is necessary that the bias function, which relates parameter values to bias, should be estimable by computer simulation or by some other method. If so, bias can b... View more
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