Applications of Subsampling, Hybrid, and Size-Correction Methods
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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.
References listed on IDEAS
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Citations
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Cited by:
- repec:eee:econom:v:200:y:2017:i:1:p:17-35 is not listed on IDEAS
- 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.
- Elliott, Graham & Müller, Ulrich K., 2014. "Pre and post break parameter inference," Journal of Econometrics, Elsevier, vol. 180(2), pages 141-157.
- 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.
- 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.
- 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.
- 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.
More about this item
Keywords
Asymptotic size; Finite-sample size; Hybrid test; Instrumental variable; Over-rejection; Parameter near boundary; Size correction; Subsampling confidence interval; Subsampling test; Weak instrument;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-ALL-2007-09-16 (All new papers)
- NEP-ECM-2007-09-16 (Econometrics)
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