Bias and accuracy of parameter estimates in a quantal response model

Abstract

For a quantal response situation involving a total of n subjects, expressions are derived for biases correct to order n−1 and covariances correct to order n−2. These are applied to the standard probit model and it is shown that in this situation, first order biases can be appreciable, even for moderate n, and that the usual asymptotic results for variances can be considerably in error.