Bootstrap Critical Values for Tests Based on the Smoothed Maximum Score Estimator
AbstractThe smoothed maximum score estimator of the coefficient vector of a binary response model is consistent and asymptotically normal under weak distributional assumptions. However, the differences between the true and nominal levels of tests based on smoothed maximum score estimates can be very large in finite samples when first-order asymptotics are used to obtains critical values. This paper gives conditions under which the differences between the true and nominal levels can be reduced by using critical values obtained from bootstrap.
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Bibliographic InfoPaper provided by University of Iowa, Department of Economics in its series Working Papers with number 96-02.
Length: 48 pages
Date of creation: 1996
Date of revision:
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Postal: University of Iowa, Department of Economics, Henry B. Tippie College of Business, Iowa City, Iowa 52242
Phone: (319) 335-0829
Fax: (319) 335-1956
Web page: http://tippie.uiowa.edu/economics/
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EVALUATION; ECONOMIC MODELS;
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- Bergström, Pål, 1999. "Bootstrap Methods and Applications in Econometrics - A Brief Survey," Working Paper Series 1999:2, Uppsala University, Department of Economics.
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