最大得分估计量的自助法

On the Bootstrap of the Maximum Score Estimator

Econometrica · 2005
被引 148
人大 A+FT50ABS 4*

中文导读

证明自助法不能一致估计最大得分估计量的渐近分布,该结论也适用于立方根收敛类中的其他估计量,但对某些单参数估计量,基于自助法的简单推断方法是可行的。

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. Copyright The Econometric Society 2005.

最大得分估计量自举法立方根收敛渐近分布