Applications of subsampling, hybrid, and size-correction methods

DOI10.1016/j.jeconom.2010.01.002zbMath1431.62581MaRDI QIDQ736678

Donald W. K. Andrews, Patrik Guggenberger

Publication date: 4 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d16/d1608.pdf

zbMATH Keywords

instrumental variable; weak instrument; asymptotic size; finite-sample size; hybrid test; over-rejection; parameter near boundary; size correction; subsampling confidence interval; subsampling test

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

62F03: Parametric hypothesis testing

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