A consistent bootstrap procedure for the maximum score estimator

DOI10.1016/J.JECONOM.2018.04.001zbMATH Open1452.62254arXiv1105.1976OpenAlexW2962677564MaRDI QIDQ1644259FDOQ1644259

Authors: Rohit Kumar Patra, Emilio Seijo, Bodhisattva Sen 

Publication date: 21 June 2018

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

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.

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

Recommendations

• On the Bootstrap of the Maximum Score Estimator
• Bootstrap critical values for tests based on the smoothed maximum score estimator
• A smoothed maximum score estimator for the binary choice panel data model with an application to labour force participation
• Smoothed maximum score estimation with nonparametrically generated covariates
• A score based approach to wild bootstrap inference

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)

Cites Work

• Weak convergence and empirical processes. With applications to statistics
• Semiparametric analysis of discrete response. Asymptotic properties of the maximum score estimator
• Maximum score estimation of the stochastic utility model of choice
• Exact computation of max weighted score estimators
• On the asymptotic accuracy of Efron's bootstrap
• Uniform in bandwidth consistency of kernel-type function estimators
• UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA
• Title not available (Why is that?)
• Direct Semiparametric Estimation of Single-Index Models with Discrete Covariates
• Semiparametric Estimation of Index Coefficients
• Optimal global rates of convergence for nonparametric regression
• Title not available (Why is that?)
• Title not available (Why is that?)
• The jackknife and bootstrap
• Probability. Theory and examples.
• Some asymptotic theory for the bootstrap
• Title not available (Why is that?)
• Title not available (Why is that?)
• On the Bootstrap of the Maximum Score Estimator
• Cube root asymptotics
• Distribution-Free Maximum Likelihood Estimator of the Binary Choice Model
• A Smoothed Maximum Score Estimator for the Binary Response Model
• Onmout ofnBootstrapping for Nonstandard M-Estimation With Nuisance Parameters
• Subsampling inference in cube root asymptotics with an application to Manski's maximum score estimator.
• Inconsistency of bootstrap: the Grenander estimator
• Non-parametric analysis of a generalized regression model. The maximum rank correlation estimator
• Set-valued analysis
• Dynamic time series binary choice
• The Limiting Distribution of the Maximum Rank Correlation Estimator
• Bootstrap critical values for tests based on the smoothed maximum score estimator
• Title not available (Why is that?)
• On the computation of semiparametric estimates in limited dependent variable models
• Robust Estimation in Binary Choice Models
• Asymptotics via empirical processes. With comments and a rejoinder by the author
• Rates of strong uniform consistency for local least squares kernel regression estimators

Cited In (11)

• Transformation-Invariant Learning of Optimal Individualized Decision Rules with Time-to-Event Outcomes
• A bootstrap method for structure detection of NARMAX models
• Optimal linear discriminators for the discrete choice model in growing dimensions
• 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

This page was built for publication: A consistent bootstrap procedure for the maximum score estimator

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1644259)