Approximate Bias Correction in Econometrics
James G. MacKinnon
Anthony A. Smith Jr.
- Publisher: Kingston (Ontario): Queen's University, Department of Economics
mean squared error | C13 | simulation | bias function | finite samples | bias function, mean squared error, simulation, finite samples
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...