The Econometric SocietyEdited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262
Econometrica: Jul, 2005, Volume 73, Issue 4
https://doi.org/10.1111/j.1468-0262.2005.00613.x
p. 1175-1204
Jason Abrevaya, Jian Huang
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.
December 4, 2024
