The Limit of Finite-Sample Size and a Problem with Subsampling
This paper considers inference based on a test statistic that has a limit distribution that is discontinuous in a nuisance parameter or the parameter of interest. The paper shows that subsample, b_n
|Date of creation:||Mar 2007|
|Date of revision:||Jul 2007|
|Publication status:||Published in Econometric Theory (2010), 26(2): 426-468|
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- Donald W. K. Andrews, 2000. "Inconsistency of the Bootstrap when a Parameter Is on the Boundary of the Parameter Space," Econometrica, Econometric Society, vol. 68(2), pages 399-406, March.
- Andrews, Donald W K, 2001.
"Testing When a Parameter Is on the Boundary of the Maintained Hypothesis,"
Econometric Society, vol. 69(3), pages 683-734, May.
- Donald W.K. Andrews, 1999. "Testing When a Parameter Is on the Boundary of the Maintained Hypothesis," Cowles Foundation Discussion Papers 1229, Cowles Foundation for Research in Economics, Yale University.
- Donald W. K. Andrews, 1999. "Estimation When a Parameter Is on a Boundary," Econometrica, Econometric Society, vol. 67(6), pages 1341-1384, November.
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