A resampling method based on pivotal estimating functions

Abstract

SUMMARY Suppose that, under a semiparametric model setting, one is interested in drawing inferences about a finite-dimensi onal parameter vector /? based on an estimating function. Generally a consistent point estimator /J for /?0, the true value for /J, can be easily obtained by finding a root of the corresponding estimating equation. To estimate the variance of ft, however, may involve complicated and subjective nonparametric functional estimates. In this paper, a general and simple resampling method for inferences about jS0 based on pivotal estimating functions is proposed. The new procedure is illustrated with the quantile and rank regression models. For both cases, our proposal can be easily and efficiently implemented with existing statistical software.