Youngki Shin, Zvezdomir Todorov
arXiv 8 Sep 2020 · Econometrics · publishedEconometrics Journal (2021) · 2 citations (OpenAlex)
arXiv:2009.03844 · PDF · DOI · OpenAlex · Extracted main text
In this paper we provide a computation algorithm to get a global solution for the maximum rank correlation estimator using the mixed integer programming (MIP) approach. We construct a new constrained optimization problem by transforming all indicator functions into binary parameters to be estimated and show that it is equivalent to the original problem. We also consider an application of the best subset rank prediction and show that the original optimization problem can be reformulated as MIP. We derive the non-asymptotic bound for the tail probability of the predictive performance measure. We investigate the performance of the MIP algorithm by an empirical example and Monte Carlo simulations.
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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 | Chen, L.-Y. and S. Lee (2018) Best subset binary prediction | 0.811 | 4 | 2 | 100% |
| 2 | Han, A. K (1987) Non-parametric analysis of a generalized regression model: the maximum rank correlation estimator | 0.737 | 3 | 2 | 100% |
| 3 | Mroz, T. A (1987) The sensitivity of an empirical model of married women's hours of work to economic and statistical assumptions | 0.737 | 3 | 2 | 100% |
| 4 | Abrevaya, J (1999) Computation of the maximum rank correlation estimator | 0.644 | 2 | 2 | 100% |
| 5 | Chernozhukov, V. and H. Hong (2003) An mcmc approach to classical estimation | 0.511 | 2 | 1 | 100% |
| 6 | Abrevaya, J (2000) Rank estimation of a generalized fixed-effects regression model | 0.405 | 1 | 1 | 100% |
| 7 | Abrevaya, J (2003) Pairwise-difference rank estimation of the transformation model | 0.405 | 1 | 1 | 100% |
| 8 | Abrevaya, J. and Y. Shin (2011) Rank estimation of partially linear index models | 0.405 | 1 | 1 | 100% |
| 9 | Ahn, H., H. Ichimura, J. L. Powell, and P. A. Ruud (2018) Simple estimators for invertible index models | 0.405 | 1 | 1 | 100% |
| 10 | Bertsimas, D., A. King, and R. Mazumder (2016) Best subset selection via a modern optimization lens | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 33 scored citations.