On the bootstrap of the maximum score estimator

• 成果类型: Article
• 署名作者: Abrevaya, J; Haung, J
• 署名单位: Purdue University System; Purdue University; University of Iowa
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.1111/j.1468-0262.2005.00613.x
• 发表日期: 2005
• 页码: 1175-1204
• 关键词: SEMIPARAMETRIC ANALYSIS; DISCRETE-RESPONSE; brownian-motion

摘要

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.