Comments on a Paper by T. Amemiya on Estimation in a Dichotomous Logit Regression Model

Abstract

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.