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

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.

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Year of publication:	2011
Authors:	Caner, Mehmet
Published in:	International Econometric Review (IER). - Ankara : Econometric Research Association (ERA), ISSN 1308-8815. - Vol. 3.2011, 2, p. 13-21
Publisher:	Ankara : Econometric Research Association (ERA)
Subject:	Bootstrap \| Kolmogorov-Smirnov Test

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	hdl:10419/238796 [Handle] RePEc:erh:journl:v:3:y:2011:i:2:p:13-21 [RePEc]
Classification:	C11 - Bayesian Analysis ; C20 - Econometric Methods: Single Equation Models. General ; C30 - Econometric Methods: Multiple/Simultaneous Equation Models. General
Source:	EconStor

Persistent link: https://www.econbiz.de/10012610937