Efficient bias correction for cross-section and panel data
Jinyong Hahn, David W. Hughes, Guido Kuersteiner, Whitney K. Newey ,
3
( 15 )
Quantitative Economics
571-891
April
2024
Abstract

Bias correction can often improve the finite sample performance of estimators. We show that the choice of bias correction method has no effect on the higher-order variance of semiparametrically efficient parametric estimators, so long as the estimate of the bias is asymptotically linear. It is also shown that bootstrap, jackknife, and analytical bias estimates are asymptotically linear for estimators with higher-order expansions of a standard form.

Links to Researchers