Amemiya (1980) derived expressions for the $n^{-2}$-order mean squared errors of the maximum likelihood and the minimum logit chi-squared estimators in the dichotomous logit regression model. He numerically evaluated these expressions for a number of specific examples and in all examples found that the minimum chi-squared estimator has smaller $n^{-2}$-order mean squared error. In this paper, we demonstrate examples in which the maximum likelihood estimator has smaller $n^{-2}$-order mean squared error.
Publié le : 1984-06-14
Classification:
Logit regression model,
maximum likelihood estimator,
minimum logit chi-squared estimator,
62F12,
62F10
@article{1176346525,
author = {Davis, Linda},
title = {Comments on a Paper by T. Amemiya on Estimation in a Dichotomous Logit Regression Model},
journal = {Ann. Statist.},
volume = {12},
number = {1},
year = {1984},
pages = { 778-782},
language = {en},
url = {http://dml.mathdoc.fr/item/1176346525}
}
Davis, Linda. Comments on a Paper by T. Amemiya on Estimation in a Dichotomous Logit Regression Model. Ann. Statist., Tome 12 (1984) no. 1, pp. 778-782. http://gdmltest.u-ga.fr/item/1176346525/