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Improving The Efficiency And Robustness Of The Smoothed Maximum Score Estimator

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  • Francisco Alvarez-Cuadrado

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Abstract

The binary-response maximum score (MS) estimator is a robust estimator, which can accommodate heteroskedasticity of an unknown form; J. Horowitz (1992) defined a smoothed maximum score estimator SMS) and demonstrated that this improves the convergence rate for sufficiently smooth conditional error densities. In this paper we relax Horowitz’s smoothness assumptions of the model and extend his asymptotic results. We also derive a joint limiting distribution of estimators with different bandwidths and smoothing kernels. We construct an estimator that combines SMS estimators for different bandwidths and kernels to overcome the uncertainty over choice of bandwidth when the degree of smoothnes of error distribution is unknown. A Monte Carlo study demonstrates the gains in efficiency and robustness.

Suggested Citation

  • Francisco Alvarez-Cuadrado, 2006. "Improving The Efficiency And Robustness Of The Smoothed Maximum Score Estimator," Departmental Working Papers 2004-01, McGill University, Department of Economics.
  • Handle: RePEc:mcl:mclwop:2004-01
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    File URL: http://www.mcgill.ca/files/economics/msdec21.pdf
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    References listed on IDEAS

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    1. Manski, Charles F. & Thompson, T. Scott, 1986. "Operational characteristics of maximum score estimation," Journal of Econometrics, Elsevier, vol. 32(1), pages 85-108, June.
    2. Lewbel, Arthur, 2000. "Semiparametric qualitative response model estimation with unknown heteroscedasticity or instrumental variables," Journal of Econometrics, Elsevier, vol. 97(1), pages 145-177, July.
    3. Zinde-Walsh, Victoria, 2002. "Asymptotic Theory For Some High Breakdown Point Estimators," Econometric Theory, Cambridge University Press, vol. 18(05), pages 1172-1196, October.
    4. 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.
    5. Horowitz, Joel L, 1992. "A Smoothed Maximum Score Estimator for the Binary Response Model," Econometrica, Econometric Society, vol. 60(3), pages 505-531, May.
    6. 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.
    7. 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.
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    More about this item

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities

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