Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5095786 | Journal of Econometrics | 2015 | 16 Pages |
Abstract
We propose a classical Laplace estimator alternative for a large class of n3-consistent estimators, including isotonic regression, monotone hazard, and maximum score estimators. The proposed alternative provides a unified method of smoothing; easier computation is a byproduct in the maximum score case. Depending on input parameter choice and smoothness, the convergence rate of our estimator varies between n3 and (almost) n and its limit distribution varies from Chernoff to normal. We provide a bias reduction method and an inference procedure which automatically adapts to the correct convergence rate and limit distribution.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Sung Jae Jun, Joris Pinkse, Yuanyuan Wan,