On the bootstrap of the maximum score estimator

Jason Abrevaya; Jian Huang

doi:10.1111/j.1468-0262.2005.00613.x

On the bootstrap of the maximum score estimator

Jason Abrevaya
, Jian Huang

Research output: Journal article publication › Journal article › Academic research › peer-review

82 Citations (Scopus)

Abstract

This paper shows that the bootstrap does not consistently estimate the asymptotic distribution of the maximum score estimator. The theory developed also applies to other estimators within a cube-root convergence class. For some single-parameter estimators in this class, the results suggest a simple method for inference based upon the bootstrap.

Original language	English
Pages (from-to)	1175-1204
Number of pages	30
Journal	Econometrica
Volume	73
Issue number	4
DOIs	https://doi.org/10.1111/j.1468-0262.2005.00613.x
Publication status	Published - 1 Jul 2005
Externally published	Yes

Keywords

Bootstrap
Cube-root asymptotics
Maximum score estimation

ASJC Scopus subject areas

Economics and Econometrics

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10.1111/j.1468-0262.2005.00613.x

Cite this

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keywords = "Bootstrap, Cube-root asymptotics, Maximum score estimation",

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KW - Cube-root asymptotics

KW - Maximum score estimation

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On the bootstrap of the maximum score estimator

Abstract

Keywords

ASJC Scopus subject areas

More information

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