Abstract
The paper “The second-order bias and mean squared error of nonlinear estimators” by Paul Rilstone, V.K. Srivastava and Aman Ullah appeared in the Journal of Econometrics, Volume 75, Issue 2, December 1996, pp. 369–395. V.K. Srivastava passed away in 2001. Our paper will be referred to here as RSU and it studied the bias and mean squared error of a class of nonlinear estimators. There is an error in the term 3 on p. 377 which appears in the expression for the mean squared error, M(), of Proposition 3.4 on p. 378. In RSU, 3 is written in the form 3 = Q{·}Q + QH 2{·}H 2Q + Q{·}H 2Q + QH 2{·}Q: (The contents of the {·} terms is evident when inspecting the de?nition of 3 in RSU.) In fact, this should read
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