A consistent bootstrap procedure for the maximum score estimator

DOI10.1016/J.JECONOM.2018.04.001MaRDI QIDQ1644259zbMATH OpenOpenAlexFDO

Authors Rohit Kumar Patra, Emilio Seijo, Bodhisattva Sen

Publication date 21 June 2018

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1105.1976

zbMATH Keywords

latent variable model(in)-consistency of bootstrapsmoothed bootstrapcube-root asymptoticsbinary choice model

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to economics (62P20) Nonparametric statistical resampling methods (62G09)

Abstract: In this paper we study the applicability of the bootstrap to do inference on Manski's maximum score estimator under the full generality of the model. We propose three new, model-based bootstrap procedures for this problem and show their consistency. Simulation experiments are carried out to evaluate their performance and to compare them with subsampling methods. Additionally, we prove a uniform convergence theorem for triangular arrays of random variables coming from binary choice models, which may be of independent interest.

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Cited in

(11)

• Transformation-Invariant Learning of Optimal Individualized Decision Rules with Time-to-Event Outcomes
• Optimal linear discriminators for the discrete choice model in growing dimensions
• A bootstrap method for structure detection of NARMAX models
• INTEGRATED SCORE ESTIMATION
• Isotonic regression discontinuity designs
• Best subset binary prediction
• Tie-Break Bootstrap for Nonparametric Rank Statistics
• Efficient estimation in single index models through smoothing splines
• Bootstrap critical values for tests based on the smoothed maximum score estimator
• Bootstrap confidence regions based on M-estimators under nonstandard conditions
• On the Bootstrap of the Maximum Score Estimator

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