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Random Weighting Method for Smoothed Binary Response Model
YUAN Min 1 * #,WU Xiao-Yan 2
1.School of Mathematics, University of Science and Technology of China, HeFei 230026
2.Department of Mathematics, Electronic Engineering Institute of the PLA, Hefei 230037
*Correspondence author
#Submitted by
Subject:
Funding: National NaturalScience Foundation of China （No.11201452, 11271346）, Specialized Research Fund for the Doctoral Program of Higher Education （No.20123402120017）
Opened online: 8 June 2013
Accepted by: none
Citation: YUAN Min,WU Xiao-Yan.Random Weighting Method for Smoothed Binary Response Model[OL]. [ 8 June 2013] http://en.paper.edu.cn/en_releasepaper/content/4546309
 
 
Binary response regression model has wide applications in economics and sociology studies. The smoothed score estimating method proposed by Horowitz (1992) has the nice properties of consistency and asymptotic normality under some regular assumptions. However the asymptotic variance involves quantities related to the unknown error distribution which is hard to be accurately estimated. We propose in this study a random weighting method to estimate the asymptotic variance of the maximum smoothed score estimators. The random weighting estimator is shown to be consistent and asymptotically normal. Statistical inference is thus possible with the variance estimates.
Keywords:Random weighting method; Maximum smoothed score function; Binary response model.
 
 
 

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