Applications of subsampling, hybrid, and size-correction methods

DOI10.1016/j.jeconom.2010.01.002zbMath1431.62581OpenAlexW3122265913MaRDI QIDQ736678

Donald W. K. Andrews, Patrik Guggenberger

Publication date: 4 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d16/d1608.pdf

zbMATH Keywords

instrumental variableweak instrumentasymptotic sizefinite-sample sizehybrid testover-rejectionparameter near boundarysize correctionsubsampling confidence intervalsubsampling test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03)

Related Items (15)

Incorrect asymptotic size of subsampling procedures based on post-consistent model selection estimators ⋮ Bonferroni-based size-correction for nonstandard testing problems ⋮ Valid locally uniform Edgeworth expansions for a class of weakly dependent processes or sequences of smooth transformations ⋮ Pre and post break parameter inference ⋮ ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION ⋮ Generic results for establishing the asymptotic size of confidence sets and tests ⋮ Subvector inference when the true parameter vector may be near or at the boundary ⋮ GEL statistics under weak identification ⋮ The impact of a Hausman pretest on the size of a hypothesis test: the panel data case ⋮ Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors ⋮ On bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson-Rubin test under conditional homoskedasticity ⋮ Tests based on \(t\)-statistics for IV regression with weak instruments ⋮ Robust subsampling ⋮ ROBUST INFERENCE IN STRUCTURAL VECTOR AUTOREGRESSIONS WITH LONG-RUN RESTRICTIONS ⋮ On asymptotic size distortions in the random coefficients logit model

Cites Work

• Performance of conditional Wald tests in IV regression with weak instruments
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• RANK TESTS FOR INSTRUMENTAL VARIABLES REGRESSION WITH WEAK INSTRUMENTS
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• GENERALIZED EMPIRICAL LIKELIHOOD ESTIMATORS AND TESTS UNDER PARTIAL, WEAK, AND STRONG IDENTIFICATION
• GENERALIZED EMPIRICAL LIKELIHOOD INFERENCE FOR NONLINEAR AND TIME SERIES MODELS UNDER WEAK IDENTIFICATION
• Optimal Two-Sided Invariant Similar Tests for Instrumental Variables Regression
• ASYMPTOTIC SIZE AND A PROBLEM WITH SUBSAMPLING AND WITH THE m OUT OF n BOOTSTRAP
• Hybrid and Size-Corrected Subsampling Methods
• Instrumental Variables Regression with Weak Instruments
• Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
• Estimation When a Parameter is on a Boundary
• Testing When a Parameter is on the Boundary of the Maintained Hypothesis
• ON THE ASYMPTOTIC SIZE DISTORTION OF TESTS WHEN INSTRUMENTS LOCALLY VIOLATE THE EXOGENEITY ASSUMPTION
• Testing Parameters in GMM Without Assuming that They Are Identified
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• Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
• Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations
• The bootstrap and Edgeworth expansion

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