Classical Laplace estimation for n 3 -consistent estimators: Improved convergence rates and rate-adaptive inference

Sung Jae Jun, Joris Pinkse, Yuanyuan Wan

Research output: Contribution to journalArticle

6 Scopus citations

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.

Original languageEnglish (US)
Pages (from-to)201-216
Number of pages16
JournalJournal of Econometrics
Volume187
Issue number1
DOIs
StatePublished - Jul 1 2015

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

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