Improving the Effectiveness of Maximum Score Estimators for Binary Regression Models

Marcin Owczarczuk
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Marcin Owczarczuk: Warsaw School of Economics

Central European Journal of Economic Modelling and Econometrics, 2015, vol. 7, issue 4, 205-217

Abstract: Maximum score estimation is a class of semiparametric methods for the coefficients of regression models. Estimates are obtained by the maximization of the special function, called the score. In case of binary regression models it is the fraction of correctly classified observations. The aim of this article is to propose a modification to the score function. The modification allows to obtain smaller variances of estimators than the standard maximum score method without impacting other properties like consistency. The study consists of extensive Monte Carlo experiments.

Keywords: maximum score estimation; Monte Carlo experiments; effectiveness (search for similar items in EconPapers)
JEL-codes: C01 C14 C15 (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:psc:journl:v:7:y:2015:i:4:p:205-217

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