Applications of Subsampling, Hybrid, and Size-Correction Methods (joint with D.W.K. Andrews), 2005, this version May 2007
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- Andrews, Donald W.K. & Guggenberger, Patrik, 2010. "Applications of subsampling, hybrid, and size-correction methods," Journal of Econometrics, Elsevier, vol. 158(2), pages 285-305, October.
- Donald W.K. Andrews & Patrik Guggenberger, 2007. "Applications of Subsampling, Hybrid, and Size-Correction Methods," Cowles Foundation Discussion Papers 1608, Cowles Foundation for Research in Economics, Yale University.
References listed on IDEAS
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Citations
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Cited by:
- Gregory Fletcher Cox, 2024. "A Simple and Adaptive Confidence Interval when Nuisance Parameters Satisfy an Inequality," Papers 2409.09962, arXiv.org.
- Doko Tchatoka, Firmin & Wang, Wenjie, 2021. "Uniform Inference after Pretesting for Exogeneity with Heteroskedastic Data," MPRA Paper 106408, University Library of Munich, Germany.
- Humberto Moreira & Marcelo Moreira, 2016. "Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors," CeMMAP working papers 25/16, Institute for Fiscal Studies.
- Doko Tchatoka, Firmin & Wang, Wenjie, 2021. "Size-corrected Bootstrap Test after Pretesting for Exogeneity with Heteroskedastic or Clustered Data," MPRA Paper 110899, University Library of Munich, Germany.
- Doko Tchatoka, Firmin & Wang, Wenjie, 2020.
"Uniform Inference after Pretesting for Exogeneity,"
MPRA Paper
99243, University Library of Munich, Germany.
- Firmin Doko Tchatoka & Wenjie Wang, 2020. "Uniform Inference after Pretesting for Exogeneity," School of Economics and Public Policy Working Papers 2020-05, University of Adelaide, School of Economics and Public Policy.
- Wang, Wenjie & Doko Tchatoka, Firmin, 2018. "On Bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson–Rubin test under conditional homoskedasticity," Journal of Econometrics, Elsevier, vol. 207(1), pages 188-211.
- McCloskey, Adam, 2017.
"Bonferroni-based size-correction for nonstandard testing problems,"
Journal of Econometrics, Elsevier, vol. 200(1), pages 17-35.
- Adam McCloskey, 2012. "Bonferroni-Based Size-Correction for Nonstandard Testing Problems," Working Papers 2012-16, Brown University, Department of Economics.
- Moreira, Humberto & Moreira, Marcelo J., 2019.
"Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors,"
Journal of Econometrics, Elsevier, vol. 213(2), pages 398-433.
- Moreira, Humberto Ataíde & Moreira, Marcelo J., 2015. "Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 764, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Humberto Moreira & Marcelo Moreira, 2016. "Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors," CeMMAP working papers CWP25/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Elliott, Graham & Müller, Ulrich K., 2014.
"Pre and post break parameter inference,"
Journal of Econometrics, Elsevier, vol. 180(2), pages 141-157.
- Elliott, Graham & Müller, Ulrich K, 2014. "Pre and post break parameter inference," University of California at San Diego, Economics Working Paper Series qt4j733246, Department of Economics, UC San Diego.
- Camponovo, Lorenzo & Scaillet, Olivier & Trojani, Fabio, 2012.
"Robust subsampling,"
Journal of Econometrics, Elsevier, vol. 167(1), pages 197-210.
- Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2006. "Robust Subsampling," Swiss Finance Institute Research Paper Series 06-33, Swiss Finance Institute.
- Mills, Benjamin & Moreira, Marcelo J. & Vilela, Lucas P., 2014. "Tests based on t-statistics for IV regression with weak instruments," Journal of Econometrics, Elsevier, vol. 182(2), pages 351-363.
- Ketz, Philipp, 2019.
"On asymptotic size distortions in the random coefficients logit model,"
Journal of Econometrics, Elsevier, vol. 212(2), pages 413-432.
- Philipp Ketz, 2019. "On asymptotic size distortions in the random coefficients logit model," PSE-Ecole d'économie de Paris (Postprint) halshs-02302067, HAL.
- Philipp Ketz, 2019. "On asymptotic size distortions in the random coefficients logit model," Post-Print halshs-02302067, HAL.
- Andrews, Donald W.K. & Guggenberger, Patrik, 2009. "Incorrect asymptotic size of subsampling procedures based on post-consistent model selection estimators," Journal of Econometrics, Elsevier, vol. 152(1), pages 19-27, September.
- Ketz, Philipp, 2018.
"Subvector inference when the true parameter vector may be near or at the boundary,"
Journal of Econometrics, Elsevier, vol. 207(2), pages 285-306.
- Philipp Ketz, 2018. "Subvector inference when the true parameter vector may be near or at the boundary," PSE-Ecole d'économie de Paris (Postprint) halshs-01884381, HAL.
- Philipp Ketz, 2018. "Subvector inference when the true parameter vector may be near or at the boundary," Post-Print halshs-01884381, HAL.
- Gregory Cox, 2022. "A Generalized Argmax Theorem with Applications," Papers 2209.08793, arXiv.org.
- Guggenberger, Patrik & Ramalho, Joaquim J.S. & Smith, Richard J., 2012. "GEL statistics under weak identification," Journal of Econometrics, Elsevier, vol. 170(2), pages 331-349.
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More about this item
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2007-04-14 (Econometrics)
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