On the Bootstrap of the Maximum Score Estimator

Jason Abrevaya and Jian Huang

Econometrica, 2005, vol. 73, issue 4, pages 1175-1204

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.

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