Bias correction in a multivariate normal regression model with general parameterization

Abstract:

This paper develops a bias correction scheme for a multivariate normal model under a general parameterization. In the model, the mean vector and the covariance matrix share the same parameters. It includes many impor-tant regression models available in the literature as special cases, such as (non)linear regression, errors-in-variables models, and so forth. Moreover, heteroscedastic situations may also be studied within our framework. We derive a general expression for the second-order biases of maximum likeli-hood estimates of the model parameters and show that it is always possible to obtain the second order bias by means of ordinary weighted lest-squares regressions. We enlighten such general expression with an errors-in-variables model and also conduct some simulations in order to verify the performance of the corrected estimates. The simulation results show that the bias correc-tion scheme yields nearly unbiased estimators. We also present an empirical illustration.

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