The 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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Paper 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: Handle: RePEc:uia:iowaec:96-02
Contact details of provider: 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/ More information through EDIRC
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Find related papers by JEL classification: C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - General C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Bayesian Analysis
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