Classical Laplace estimation for \(\root3\of n\)-consistent estimators: improved convergence rates and rate-adaptive inference

DOI10.1016/j.jeconom.2015.01.005zbMath1337.62102OpenAlexW2093530018MaRDI QIDQ494390

Yuanyuan Wan, Sung Jae Jun, Joris Pinkse

Publication date: 1 September 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.01.005

zbMATH Keywords

\(\root3\of n\)-consistent estimatorsLaplace estimationrate-adaptive inference

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20)

Related Items

GENERALIZED LAPLACE INFERENCE IN MULTIPLE CHANGE-POINTS MODELS, Best subset binary prediction, The numerical bootstrap, INTEGRATED SCORE ESTIMATION, On Bayesian oracle properties, Bayesian fixed-domain asymptotics for covariance parameters in a Gaussian process model

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Mode regression
• \(\sqrt n\)-consistent robust integration-based estimation
• Cube root asymptotics
• Inconsistency of bootstrap: the Grenander estimator
• On weak convergence of integral functionals of stochastic processes with applications to processes taking paths in \(L^ E_ p\)
• Monotone nonparametric regression
• Monotone regression estimates for grouped observations
• Estimating a smooth monotone regression function
• Maximum score estimation of the stochastic utility model of choice
• An MCMC approach to classical estimation.
• Limited information likelihood and Bayesian analysis
• Weak convergence and empirical processes. With applications to statistics
• Extremum estimation and numerical derivatives
• The strong law of large numbers
• An Empirical Distribution Function for Sampling with Incomplete Information
• On the Estimation of Parameters Restricted by Inequalities
• Semiparametric Analysis of Random Effects Linear Models from Binary Panel Data
• A Smoothed Maximum Score Estimator for the Binary Response Model
• Asymptotic Statistics
• ASYMPTOTIC THEORY FOR SOME HIGH BREAKDOWN POINT ESTIMATORS
• SMALL BANDWIDTH ASYMPTOTICS FOR DENSITY-WEIGHTED AVERAGE DERIVATIVES
• On the Bootstrap of the Maximum Score Estimator
• Estimation for Distributions with Monotone Failure Rate
• An invariant form for the prior probability in estimation problems
• Subsampling inference in cube root asymptotics with an application to Manski's maximum score estimator.