A Pretest to Differentiate Between Weak and Nearly-Weak Instrument Asymptotics
We propose a pretest, bootstrap Kolmogorov-Smirnov test, to differentiate between weak and nearly-weak asymptotics. This is based on bootstrapping Wald Continuous Updating Estimator (CUE) based test. Since Wald CUE test has different limits under weak and nearly-weak cases this can be used in a pretest. We also conduct some simulations and show that some of the asset pricing models conform to nearly-weak asymptotics.
Volume (Year): 3 (2011)
Issue (Month): 2 (September)
|Contact details of provider:|| Postal: Sairler Sokak, No:32/C, Gaziosmanpasa, Ankara, Turkey|
Phone: + 90 312 447 51 95
Fax: + 90 312 447 51 95
Web page: http://www.era.org.tr/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hahn, Jinyong & Kuersteiner, Guido, 2002. "Discontinuities of weak instrument limiting distributions," Economics Letters, Elsevier, vol. 75(3), pages 325-331, May.
- Phillips, Peter C B & Park, Joon Y, 1988.
"On the Formulation of Wald Tests of Nonlinear Restrictions,"
Econometric Society, vol. 56(5), pages 1065-83, September.
- Peter C.B. Phillips & Joon Y. Park, 1986. "On the Formulation of Wald Tests of Nonlinear Restrictions," Cowles Foundation Discussion Papers 801, Cowles Foundation for Research in Economics, Yale University.
- Hansen, Lars Peter & Heaton, John & Yaron, Amir, 1996. "Finite-Sample Properties of Some Alternative GMM Estimators," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 262-80, July.
- Hall, Peter & Horowitz, Joel L, 1996. "Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators," Econometrica, Econometric Society, vol. 64(4), pages 891-916, July.
- Mehmet Caner, 2010. "Testing, Estimation in GMM and CUE with Nearly-Weak Identification," Econometric Reviews, Taylor & Francis Journals, vol. 29(3), pages 330-363.
When requesting a correction, please mention this item's handle: RePEc:erh:journl:v:3:y:2011:i:2:p:13-21. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (M. F. Cosar)
If references are entirely missing, you can add them using this form.