Classical Laplace estimation for n3-consistent estimators: Improved convergence rates and rate-adaptive inference

A-Tier
Journal: Journal of Econometrics
Year: 2015
Volume: 187
Issue: 1
Pages: 201-216

Score contribution per author:

1.341 = (α=2.01 / 3 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:eee:econom:v:187:y:2015:i:1:p:201-216
Journal Field
Econometrics
Author Count
3
Added to Database
2026-01-25