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On the Bootstrap of the Maximum Score Estimator

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  • Jason Abrevaya
  • Jian Huang

Abstract

This paper shows that the bootstrap does not consistently estimate the asymptotic distribution of the maximum score estimator. The theory developed also applies to other estimators within a cube-root convergence class. For some single-parameter estimators in this class, the results suggest a simple method for inference based upon the bootstrap. Copyright The Econometric Society 2005.

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File URL: http://hdl.handle.net/10.1111/j.1468-0262.2005.00613.x
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Bibliographic Info

Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 73 (2005)
Issue (Month): 4 (07)
Pages: 1175-1204

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Handle: RePEc:ecm:emetrp:v:73:y:2005:i:4:p:1175-1204

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Cited by:
  1. Jason R. Blevins, 2013. "Non-Standard Rates of Convergence of Criterion-Function-Based Set Estimators," Working Papers 13-02, Ohio State University, Department of Economics.
  2. Song, Kyungchul, 2014. "Semiparametric models with single-index nuisance parameters," Journal of Econometrics, Elsevier, vol. 178(P3), pages 471-483.
  3. Seo, Myung Hwan & Linton, Oliver, 2007. "A smoothed least squares estimator for threshold regression models," Journal of Econometrics, Elsevier, vol. 141(2), pages 704-735, December.
  4. Brian Blackburn & Aprajit Mahajan & Alessandro Tarozzi & Joanne Yoong, 2009. "Bednets, Information and Malaria in Orissa," Discussion Papers 08-025, Stanford Institute for Economic Policy Research.
  5. Marcin Owczarczuk, 2008. "Maximum score type estimators," Working Papers 28, Department of Applied Econometrics, Warsaw School of Economics.
  6. D. F. Benoit & D. Van Den Poel, 2010. "Binary quantile regression: A Bayesian approach based on the asymmetric Laplace density," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 10/662, Ghent University, Faculty of Economics and Business Administration.
  7. Oliver Linton & Kyungchul Song & Yoon-Jae Whang, 2009. "An Improved Bootstrap Test of Stochastic Dominance," Cowles Foundation Discussion Papers 1713, Cowles Foundation for Research in Economics, Yale University.
  8. Florios, Kostas & Skouras, Spyros, 2008. "Exact computation of max weighted score estimators," Journal of Econometrics, Elsevier, vol. 146(1), pages 86-91, September.
  9. Yuanyuan Wan & Haiqing Xu, 2013. "Inference in Semiparametric Binary Response Models with Interval Data," Working Papers tecipa-492, University of Toronto, Department of Economics.
  10. Christian Ahlin, 2010. "Matching for Credit: Risk and Diversification in Thai Microcredit Groups," Working Papers id:2588, eSocialSciences.
  11. Taisuke Otsu & Myung Hwan Seo, 2014. "Extending the Scope of Cube Root Asymptotics," STICERD - Econometrics Paper Series /2014/571, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  12. Le-Yu Chen & Sokbae 'Simon' Lee & Myung Jae Sung, 2013. "Maximum score estimation of preference parameters for a binary choice model under uncertainty," CeMMAP working papers CWP14/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  13. Kyungchul Song, 2009. "Two-Step Extremum Estimation with Estimated Single-Indices," PIER Working Paper Archive 09-012, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  14. Sokbae Lee & Myunghwan Seo, 2007. "Semiparametric Estimation Of A Binaryresponse Model With A Change-Pointdue To A Covariate Threshold," STICERD - Econometrics Paper Series /2007/516, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  15. Jeremy T. Fox, 2008. "Estimating Matching Games with Transfers," NBER Working Papers 14382, National Bureau of Economic Research, Inc.
  16. Joseph P. Romano & Michael Wolf, . "Control of Generalized Error Rates in Multiple Testing," IEW - Working Papers 245, Institute for Empirical Research in Economics - University of Zurich.

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