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.
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|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|
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Web page: http://tippie.uiowa.edu/economics/
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