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Biometrika 1998 85(1):244-250; doi:10.1093/biomet/85.1.244
© 1998 by Biometrika Trust
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MISCELLANEA

From unbiased linear estimating equations to unbiased estimators

OFFER LIEBERMAN

Faculty of Industrial Engineering and Management, Technio-Israel Institute of Technology Haifa 32000, Israel offerl{at}ie.technion.ac.il

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.

Key Words: Autoregression • Bias correction • Bias prevention • Estimating equation • Firth's Formula


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