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Ordinary Least Squares Bias and Bias Corrections for iid Samples

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  • Lonnie Magee

Abstract

The O(n-1) bias and O(n-2) MSE of OLS are derived for iid samples. An approach is suggested for handling nonexistent finite sample moments. Bias corrections based on plug-in, weighting, jackknife and pairs bootstrap methods are equal to Op(n-3/2). Sometimes they are effective at lowering bias and MSE, but not always. In simulations, the bootstrap correction removes more bias than the others, but has a higher MSE. A hypothesis test is given for the presence of this bias. The techniques are applied to survey data on food expenditure, and the estimated bias is small and statistically insignificant.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Lonnie Magee, 2007. "Ordinary Least Squares Bias and Bias Corrections for iid Samples," Quantitative Studies in Economics and Population Research Reports 419, McMaster University.
    • Handle: RePEc:mcm:qseprr:419
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    File URL: http://socserv.mcmaster.ca/qsep/p/qsep419.pdf
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