Finite-Sample Properties of the Maximum Likelihood Estimator for the Poisson Regression Model With Random Covariates |
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Authors: | Qian Chen |
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Institution: | School of Public Finance and Public Policy, Central University of Finance and Economics , Beijing , People's Republic of China |
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Abstract: | We examine the small-sample behaviour of the maximum likelihood estimator for the Poisson regression model with random covariates. Analytic expressions for the second-order bias and mean squared error are derived, and we undertake some numerical evaluations to illustrate these results for the single covariate case. The properties of the bias-adjusted maximum likelihood estimator are investigated in a Monte Carlo experiment. Correcting the estimator for its second-order bias is found to be effective in the cases considered, and we recommend its use when the Poisson regression model is estimated by maximum likelihood with small samples. |
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Keywords: | Bias Bias correction Mean squared error Poisson regression model Random covariates |
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