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Classical Laplace estimation for n3-consistent estimators: Improved convergence rates and rate-adaptive inference

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  • Jun, Sung Jae
  • Pinkse, Joris
  • Wan, Yuanyuan

Abstract

We propose a classical Laplace estimator alternative for a large class of n3-consistent estimators, including isotonic regression, monotone hazard, and maximum score estimators. The proposed alternative provides a unified method of smoothing; easier computation is a byproduct in the maximum score case. Depending on input parameter choice and smoothness, the convergence rate of our estimator varies between n3 and (almost) n and its limit distribution varies from Chernoff to normal. We provide a bias reduction method and an inference procedure which automatically adapts to the correct convergence rate and limit distribution.

Suggested Citation

  • Jun, Sung Jae & Pinkse, Joris & Wan, Yuanyuan, 2015. "Classical Laplace estimation for n3-consistent estimators: Improved convergence rates and rate-adaptive inference," Journal of Econometrics, Elsevier, vol. 187(1), pages 201-216.
    • Handle: RePEc:eee:econom:v:187:y:2015:i:1:p:201-216
    DOI: 10.1016/j.jeconom.2015.01.005
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    References listed on IDEAS

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    Cited by:

    1. Alessandro Casini & Pierre Perron, "undated". "Generalized Laplace Inference in Multiple Change-Points Models," Boston University - Department of Economics - Working Papers Series WP2018-012, Boston University - Department of Economics.
    2. Chen, Le-Yu & Lee, Sokbae, 2018. "Best subset binary prediction," Journal of Econometrics, Elsevier, vol. 206(1), pages 39-56.
    3. Joris Pinkse & Karl Schurter, 2019. "Estimation of Auction Models with Shape Restrictions," Papers 1912.07466, arXiv.org.
    4. Casini, Alessandro & Perron, Pierre, 2022. "Generalized Laplace Inference In Multiple Change-Points Models," Econometric Theory, Cambridge University Press, vol. 38(1), pages 35-65, February.
    5. Sadat Reza & Paul Rilstone, 2019. "Smoothed Maximum Score Estimation of Discrete Duration Models," JRFM, MDPI, vol. 12(2), pages 1-16, April.

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    More about this item

    Keywords

    Laplace estimation; n3-consistent estimators; Rate-adaptive inference;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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