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

@inproceedings{Horowitz1996BootstrapCV,
  title={Bootstrap Critical Values for Tests Based on the Smoothed Maximum Score Estimator},
  author={Joel L. Horowitz},
  year={1996}
}
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… CONTINUE READING