A Pretest to Differentiate Between Weak and Nearly-Weak Instrument Asymptotics

Artikel

We propose a pretest, bootstrap Kolmogorov-Smirnov test, to differentiate between weak and nearly-weak asymptotics. This is based on bootstrapping Wald Continuous Updating Estimator (CUE) based test. Since Wald CUE test has different limits under weak and nearly-weak cases this can be used in a pretest. We also conduct some simulations and show that some of the asset pricing models conform to nearly-weak asymptotics.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: International Econometric Review (IER) ; ISSN: 1308-8815 ; Volume: 3 ; Year: 2011 ; Issue: 2 ; Pages: 13-21 ; Ankara: Econometric Research Association (ERA)

Classification and Topics

• Classification: Wirtschaft ; Bayesian Analysis: General ; Single Equation Models; Single Variables: General ; Multiple or Simultaneous Equation Models; Multiple Variables: General
• Subject: Bootstrap ; Kolmogorov-Smirnov Test

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Caner, Mehmet
• Event: Veröffentlichung
• (who): Econometric Research Association (ERA)
• (where): Ankara
• (when): 2011

Further information

• Handle: http://hdl.handle.net/10419/238796
• Last update: 10.03.2025, 11:45 AM CET