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Maximum score type estimators

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  • Marcin Owczarczuk

    ()
    (Warsaw School of Economics)

Abstract

This paper presents maximum score type estimators for linear, binomial, tobit and truncated regression models. These estimators estimate the normalized vector of slopes and do not provide the estimator of intercept, although it may appear in the model. Strong consistency is proved. In addition, in the case of truncated and tobit regression models, maximum score estimators allow restriction of the sample in order to make ordinary least squares method consistent.

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File URL: http://kolegia.sgh.waw.pl/pl/KAE/struktura/IE/struktura/ZES/Documents/Working_Papers/aewp07-08.pdf
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Bibliographic Info

Paper provided by Department of Applied Econometrics, Warsaw School of Economics in its series Working Papers with number 28.

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Length: 21 pages
Date of creation: 01 Aug 2008
Date of revision:
Handle: RePEc:wse:wpaper:28

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Keywords: maximum score estimation; linear regression; tobit; truncated; binomial; semiparametric;

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  1. Horowitz, Joel L., 2002. "Bootstrap critical values for tests based on the smoothed maximum score estimator," Journal of Econometrics, Elsevier, vol. 111(2), pages 141-167, December.
  2. Bierens,Herman J., 2005. "Introduction to the Mathematical and Statistical Foundations of Econometrics," Cambridge Books, Cambridge University Press, number 9780521542241, October.
  3. Greene, William H, 1981. "On the Asymptotic Bias of the Ordinary Least Squares Estimator of the Tobit Model," Econometrica, Econometric Society, vol. 49(2), pages 505-13, March.
  4. Manski, Charles F., 1975. "Maximum score estimation of the stochastic utility model of choice," Journal of Econometrics, Elsevier, vol. 3(3), pages 205-228, August.
  5. Horowitz, Joel L, 1992. "A Smoothed Maximum Score Estimator for the Binary Response Model," Econometrica, Econometric Society, vol. 60(3), pages 505-31, May.
  6. Moon, Hyungsik Roger, 2004. "Maximum score estimation of a nonstationary binary choice model," Journal of Econometrics, Elsevier, vol. 122(2), pages 385-403, October.
  7. Manski, Charles F., 1985. "Semiparametric analysis of discrete response : Asymptotic properties of the maximum score estimator," Journal of Econometrics, Elsevier, vol. 27(3), pages 313-333, March.
  8. Jason Abrevaya & Jian Huang, 2005. "On the Bootstrap of the Maximum Score Estimator," Econometrica, Econometric Society, vol. 73(4), pages 1175-1204, 07.
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