Generic results for establishing the asymptotic size of confidence sets and tests
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Publication:2227058
DOI10.1016/j.jeconom.2020.04.027zbMath1464.62489OpenAlexW3125727978MaRDI QIDQ2227058
Donald W. K. Andrews, Patrik Guggenberger, Xu Cheng
Publication date: 9 February 2021
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.04.027
identificationautoregressive modelinferenceweak instrumentsconfidence settestweak identificationuniformasymptotic sizegrid bootstrap
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05)
Related Items (8)
UNIFORM INFERENCE IN A GENERALIZED INTERVAL ARITHMETIC CENTER AND RANGE LINEAR MODEL ⋮ Uniform inference in linear panel data models with two-dimensional heterogeneity ⋮ Wald, QLR, and score tests when parameters are subject to linear inequality constraints ⋮ Locally robust inference for non-Gaussian linear simultaneous equations models ⋮ A conditional linear combination test with many weak instruments ⋮ Detecting identification failure in moment condition models ⋮ Editors' introduction. Special issue in honor of Jean-Marie Dufour on identification, inference, and causality ⋮ Estimation and inference in the presence of fractional \(d=1/2\) and weakly nonstationary processes
Uses Software
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