Bootstrap Critical Values for Tests Based on the Smoothed Maximum Score Estimator
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.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||1996|
|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
When requesting a correction, please mention this item's handle: RePEc:uia:iowaec:96-02. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (John Solow)
If references are entirely missing, you can add them using this form.