Wayne Yuan Gao, Sheng Xu, Kan Xu
arXiv 7 Sep 2020 · Econometrics · 2 citations (OpenAlex)
arXiv:2009.02854 · PDF · DOI · OpenAlex · Extracted main text
This paper considers the asymptotic theory of a semiparametric M-estimator that is generally applicable to models that satisfy a monotonicity condition in one or several parametric indexes. We call the estimator two-stage maximum score (TSMS) estimator since our estimator involves a first-stage nonparametric regression when applied to the binary choice model of Manski (1975, 1985). We characterize the asymptotic distribution of the TSMS estimator, which features phase transitions depending on the dimension and thus the convergence rate of the first-stage estimation. Effectively, the first-stage nonparametric estimator serves as an imperfect smoothing function on a non-smooth criterion function, leading to the pivotality of the first-stage estimation error with respect to the second-stage convergence rate and asymptotic distribution
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Manski, C. F (1975) Maximum score estimation of the stochastic utility model of choice | 1.000 | 6 | 3 | 100% |
| 2 | Manski, C. F (1985) Semiparametric analysis of discrete response: Asymptotic properties of the maximum score estimator | 1.000 | 6 | 3 | 100% |
| 3 | Horowitz, J. L (1992) A smoothed maximum score estimator for the binary response model | 0.977 | 15 | 3 | 93% |
| 4 | Chen, X., O. Linton, and I. Van Keilegom (2003) Estimation of semiparametric models when the criterion function is not smooth | 0.894 | 7 | 3 | 71% |
| 5 | Kim, J. and D. Pollard (1990) Cube root asymptotics | 0.874 | 8 | 2 | 100% |
| 6 | Seo, M. H. and T. Otsu (2018) Local M-estimation with discontinuous criterion for dependent and limited observations | 0.874 | 6 | 2 | 100% |
| 7 | Delsol, L. and I. Van Keilegom (2020) Semiparametric M-estimation with non-smooth criterion functions | 0.843 | 4 | 3 | 75% |
| 8 | Gao, W. Y. and M. Li (2020) Robust Semiparametric Estimation in Panel Multinomial Choice Models self | 0.811 | 4 | 2 | 100% |
| 9 | Newey, K. and D. McFadden (1994) Large sample estimation and hypothesis testing | 0.811 | 4 | 2 | 100% |
| 10 | Kosorok, M. R (2008) Introduction to empirical processes and semiparametric inference | 0.794 | 6 | 4 | 50% |
Showing the top 10 of 28 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Logical Differencing in Dyadic Network Formation Models with Nontransferable Utilities | 0.405 | 1 | 1 |
| 2 | A Bayesian Perspective on the Maximum Score Problem | 0.405 | 1 | 1 |
| 3 | Binary Classification with the Maximum Score Model and Linear Programming | 0.405 | 1 | 1 |