Abstract
We suggest in this paper bias correction and prevention measures for the estimator defined as a solution to an unbiased linear estimating equation. A new formula for the exact bias of this estimator is presented and is expressed as a convergent sequence. Feasible exact bias correction based on the formula is computationally straightforward. Connections to Firth's (1993) device of bias prevention are drawn. The primary application is to the first-order autoregression model.
Original language | English |
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Pages (from-to) | 244-250 |
Number of pages | 7 |
Journal | Biometrika |
Volume | 85 |
Issue number | 1 |
DOIs | |
State | Published - 1998 |
Externally published | Yes |
Keywords
- Autoregression
- Bias correction
- Bias prevention
- Estimating equation
- Firth's formula