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Bootstrap Critical Values for Tests Based on the Smoothed Maximum Score Estimator

Author

Listed:
  • Horowitz, J.L.

    () (University of Iowa)

Abstract

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.

Suggested Citation

  • Horowitz, J.L., 1996. "Bootstrap Critical Values for Tests Based on the Smoothed Maximum Score Estimator," Working Papers 96-02, University of Iowa, Department of Economics.
  • Handle: RePEc:uia:iowaec:96-02
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    Cited by:

    1. Bergström, Pål, 1999. "Bootstrap Methods and Applications in Econometrics - A Brief Survey," Working Paper Series 1999:2, Uppsala University, Department of Economics.

    More about this item

    Keywords

    EVALUATION; ECONOMIC MODELS;

    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; Spatio-temporal Models
    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General

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