On rank estimators in increasing dimensions

Yanqin Fan, Fang Han, Wei Li and Xiao-Hua Zhou

Journal of Econometrics, 2020, vol. 214, issue 2, 379-412

Abstract: The family of rank estimators, including Han’s maximum rank correlation (Han, 1987) as a notable example, has been widely exploited in studying regression problems. For these estimators, although the linear index is introduced for alleviating the impact of dimensionality, the effect of large dimension on inference is rarely studied. This paper fills this gap via studying the statistical properties of a larger family of M-estimators, whose objective functions are formulated as U-processes and may be discontinuous in increasing dimension set-up where the number of parameters, pn, in the model is allowed to increase with the sample size, n. First, we find that often in estimation, as pn∕n→0, (pn∕n)1∕2 rate of convergence is obtainable. Second, we establish Bahadur-type bounds and study the validity of normal approximation, which we find often requires a much stronger scaling requirement than pn2∕n→0. Third, we state conditions under which the numerical derivative estimator of asymptotic covariance matrix is consistent, and show that the step size in implementing the covariance estimator has to be adjusted with respect to pn. All theoretical results are further backed up by simulation studies.

Keywords: Bahadur-type bounds; Degenerate U-processes; Maximal inequalities; Uniform bounds (search for similar items in EconPapers)
JEL-codes: C14 C55 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304407619301678
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:214:y:2020:i:2:p:379-412

DOI: 10.1016/j.jeconom.2019.08.003

Access Statistics for this article

Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

More articles in Journal of Econometrics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().