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Generic results for establishing the asymptotic size of confidence sets and tests

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  • Andrews, Donald W.K.
  • Cheng, Xu
  • Guggenberger, Patrik

Abstract

This paper provides a set of results that can be used to establish the asymptotic size and/or similarity in a uniform sense of confidence sets and tests. The results are generic in that they can be applied to a broad range of problems. They are most useful in scenarios where the pointwise asymptotic distribution of a test statistic is a discontinuous function of a parameter.

Suggested Citation

  • Andrews, Donald W.K. & Cheng, Xu & Guggenberger, Patrik, 2020. "Generic results for establishing the asymptotic size of confidence sets and tests," Journal of Econometrics, Elsevier, vol. 218(2), pages 496-531.
    • Handle: RePEc:eee:econom:v:218:y:2020:i:2:p:496-531
    DOI: 10.1016/j.jeconom.2020.04.027
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    8. Andrews, Donald W.K. & Guggenberger, Patrik, 2012. "Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 169(2), pages 196-210.
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    More about this item

    Keywords

    Asymptotic size; Autoregressive model; Confidence set; Grid bootstrap; Identification; Inference; Test; Uniform; Weak instruments; Weak identification;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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