Efficient tests under a weak convergence assumption

DOI10.3982/ECTA7793MaRDI QIDQ3168951zbMATH OpenOpenAlexFDO

Authors Ulrich K. Müller

Publication date 27 April 2011

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3982/ecta7793

zbMATH Keywords

robustnesssemiparametric efficiencyunit root test

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Asymptotic properties of parametric tests (62F05) Hypothesis testing in multivariate analysis (62H15) Applications of statistics to economics (62P20)

Recommendations

• Asymptotic F tests under possibly weak identification
• Testing under weak identification with conditional moment restrictions
• Efficient Wald Tests for Fractional Unit Roots
• Efficient GMM with nearly-weak instruments
• Efficient bootstrap with weakly dependent processes

Cited in

(8)

• Subvector inference when the true parameter vector may be near or at the boundary
• Semiparametric testing with highly persistent predictors
• Semiparametrically point-optimal hybrid rank tests for unit roots
• Low-frequency robust cointegration testing
• Pre and post break parameter inference
• Efficient p-value estimation in massively parallel testing problems
• Admissible, similar tests: a characterization
• A more credible approach to parallel trends

This page was built for publication: Efficient tests under a weak convergence assumption

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3168951)