A RESAMPLING METHOD BASED ON PIVOTAL ESTIMATING FUNCTIONS

Suppose that, under a semiparametric model setting, one is interested in drawing inferences about a finite-dimensional parameter vector beta based on an estimating function. Generally a consistent point estimator beta for beta0, the true value for beta, can be easily obtained by finding a root of the corresponding estimating equation. To estimate the variance of beta, however, may involve complicated and subjective nonparametric functional estimates. In this paper, a general and simple resampling method for inferences about beta0 based on pivotal estimating functions's 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.