HIGHER-ORDER BIAS AND MSE OF NONLINEAR ESTIMATORS

被引：0
|
作者：
Bao, Yong [1 ]
Ullah, Aman [2 ]
机构：
[1] Purdue Univ, Dept Econ, W Lafayette, IN 47907 USA
[2] Univ Calif Riverside, Dept Econ, Riverside, CA 92521 USA
来源：
PAKISTAN JOURNAL OF STATISTICS | 2009年 / 25卷 / 04期
关键词：
Bias; Mean Squared Error; Higher-Order Expansion; MEAN SQUARED ERROR; 2ND-ORDER BIAS;
D O I：
暂无
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We derive the approximate results for the bias and mean squared error of a large class of estimators to orders O(n(-5/2)) and O(n(-3)), respectively, given a sample of n observations. The results are built on a stochastic expansion of the moment condition used to identify the econometric estimator and a Nagar-type expansion of the inverse of the gradient of the moment condition.
引用
收藏
页码：587 / 594
页数：8
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