Modern econometrics requires implementation of highly specialized software. In contrast to mathematical arguments used in implementing new econometric techniques the corresponding software algorithms require specific platforms. The specialization of hardware and software, in fact, seriously...

The optimal minimum distance (OMD) estimator for models of covariance structure is asymptotically efficient but has much worse finite-sample properties than does the equally-weighted minimum distance (EWMD) estimator. This paper shows how the bootstrap can be used to improve the finite-sample...

The smoothed maximum score estimator of the coefficient vector of a binary response model is consistent and asymptotically normal under weak distributional assumptions. However, the differences between the true and nominal levels of tests based on smoothed maximum score estimates can be very...

Tests of statistical hypotheses can be based on either of two critical values: the Type I critical value or the size-corrected critical value. The former usually depends on unknown population parameters and cannot be evaluated exactly in applications, but it can often be estimated very...