A General Method for Third-Order Bias and Variance Corrections on a Nonlinear Estimator

• Main Author: YANG, Zhenlin
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2015
• Subjects: Third-order bias; Third-order variance; Bootstrap; Concentrated estimating equation; Monte Carlo; Spatial layout; Stochastic expansion; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/1586; https://ink.library.smu.edu.sg/context/soe_research/article/2585/viewcontent/Yang_JOE062014.pdf
• Institution: Singapore Management University

Motivated by a recent study of Bao and Ullah (2007a) on finite sample properties of MLE in the pure SAR (spatial autoregressive) model, a general method for third-order bias and variance corrections on a nonlinear estimator is proposed based on stochastic expansion and bootstrap. Working with concen...