Bootstrap Critical Values for Tests Based on the Smoothed Maximum Score Estimator

J.L. Horowitz ()
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J.L. Horowitz: University of Iowa

Working Papers from University of Iowa, Department of Economics

Abstract: The smoothed maximum score estimator of the coefficient vector of a binary response model is consistent and asymptotically normal under weak distributional assumptions. However, the differences between the true and nominal levels of tests based on smoothed maximum score estimates can be very large in finite samples when first-order asymptotics are used to obtains critical values. This paper gives conditions under which the differences between the true and nominal levels can be reduced by using critical values obtained from bootstrap.

Keywords: EVALUATION; ECONOMIC MODELS (search for similar items in EconPapers)
JEL-codes: C10 C11 C20 C23 (search for similar items in EconPapers)
Pages: 48 pages
Date: 1996
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:uia:iowaec:96-02

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