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A comparative study of the bias corrected estimates in logistic regression

Department of Statistics, Iowa State University, IA, USA

Vivek Pradhan

Cytel Inc., Cambridge, MA, USA, Vpradhan{at}cytel.com

Logistic regression is frequently used in many areas of applied statistics. The maximum likelihood estimates (MLE) of the logistic regression parameters are usually computed using the iterative Newton—Raphson method. It is well known that these estimates are biased. Several methods are proposed to correct the bias of these estimates. Among them Firth (1993) and Cordeiro and McCullagh (1991) proposed two promising methods. The conditional exact method (CMLE) is popular for small-sample estimates, and is available in many software packages. In this article we compare these methods in terms of their bias. In general, our extensive simulations show that the methods proposed by Cordeiro and McCullagh and by Firth work well, though Cordeiro and McCullagh is slightly better in our simulations. In case of separation, Firth or CMLE can be used; however, a judicious approach is required when there is a wide variation in results. Two real data analyses are given exhibiting these properties. The data analysis also includes bootstrap results.

This version was published on December 1, 2008

Statistical Methods in Medical Research, Vol. 17, No. 6, 621-634 (2008)
DOI: 10.1177/0962280207084156


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