The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

Bias Correction

  • Jinyong Hahn
Reference work entry
DOI: https://doi.org/10.1057/978-1-349-95189-5_2020

Abstract

Bias correction is a statistical technique used to remove the bias of an estimator. An unbiased estimator is such that its expectation is equal to the parameter of interest. Many introductory statistics textbooks discuss the desirability of having an unbiased estimator, although it is quickly pointed out that unbiasedness alone cannot be a good criterion for an estimator. This is usually illustrated by comparing two estimators with the use of a concrete loss function, where it is noted that an unbiased estimator with a large variance may be inferior to a biased estimator with a small variance.

Keywords

Asymptotic theory Bias correction Empirical likelihood Generalized method of moments Limited information maximum likelihood Nuisance parameters Panel models Two-stage least squares 

JEL Classifications

C11 C13 
This is a preview of subscription content, log in to check access

Bibliography

  1. Arellano, M. 2003. Discrete choices with panel data. Investigaciones Económicas 27: 423–458.Google Scholar
  2. Bekker, P. 1994. Alternative approximations to the distributions of instrumental variable estimators. Econometrica 62: 657–681.CrossRefGoogle Scholar
  3. Hahn, J., and W. Newey. 2004. Jackknife and analytical bias reduction for nonlinear panel models. Econometrica 72: 1295–1319.CrossRefGoogle Scholar
  4. Newey, W., and R. Smith. 2004. Higher order properties of GMM and generalized empirical likelihood estimators. Econometrica 72: 219–255.CrossRefGoogle Scholar
  5. Neyman, J., and E. Scott. 1948. Consistent estimates based on partially consistent observations. Econometrica 16: 1–31.CrossRefGoogle Scholar
  6. Pfanzagl, J., and W. Wefelmeyer. 1978. A third-order optimum property of the maximum likelihood estimator. Journal of Multivariate Analysis 8: 1–29.CrossRefGoogle Scholar
  7. Woutersen, T. 2002. Robustness against incidental parameters. Working Paper No. 20028. Department of Economics/University of Western Ontario.Google Scholar

Copyright information

© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • Jinyong Hahn
    • 1
  1. 1.