Maximum score estimation with nonparametrically generated regressors

DOI10.1111/ECTJ.12034MaRDI QIDQ5093238zbMATH OpenOpenAlexFDO

Authors Le-Yu Chen, Sokbae Lee, Myung Jae Sung

Publication date 26 July 2022

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10419/111378

zbMATH Keywords

\(M\)-estimationcube root asymptoticsdiscrete choicegenerated regressormaximum score estimationpreference parameters

Mathematics Subject Classification ID

Statistics (62-XX)

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(9)

• Distribution theory for the analysis of binary choice under uncertainty with nonparametric estimation of expectations
• Best subset binary prediction
• Sample selection models with monotone control functions
• Nonparametric analysis of a duration model with stochastic unobserved heterogeneity
• Exact computation of max weighted score estimators
• Binary quantile regression with local polynomial smoothing
• Smoothed maximum score estimation with nonparametrically generated covariates
• Quasi-Bayesian estimation and inference with control functions
• Maximum score estimation of a nonstationary binary choice model

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