Finite-sample Moments of the Mle for the Binary Logit Model

Author Contact: David E., Dept. of Economics, University of Victoria, P.O. Box 1700, STN CSC, Victoria, B.C., Canada V8W 2Y2; e-mail: [email protected]; Voice: (250) 721-8540; FAX: (250) 721-6214 Abstract We examine the finite sample properties of the MLE for the Logit model with random covariates. We derive the second order bias and MSE function for the MLE in this model, and undertake some numerical evaluations to illustrate the analytic results. From these numerical results we find, for example, that the bias correction that we provide is effective, and that the bias-corrected estimator is more efficient than the uncorrected MLE.