Local M-estimation with Discontinuous Criterion for Dependent and Limited Observations

10 Oct 2016 Seo Myung Hwan Otsu Taisuke

This paper examines asymptotic properties of local M-estimators under three sets of high-level conditions. These conditions are sufficiently general to cover the minimum volume predictive region, conditional maximum score estimator for a panel data discrete choice model, and many other widely used estimators in statistics and econometrics... (read more)

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  • STATISTICS THEORY
  • METHODOLOGY
  • STATISTICS THEORY