Andrews, Donald W.K.; Guggenberger, Patrik - Cowles Foundation for Research in Economics, Yale University - 2007
This paper analyzes the properties of subsampling, hybrid subsampling, and size-correction methods in two non …-sided subsampling tests and confidence intervals (CIs) based on the 2SLS t statistic do not have correct asymptotic size. This holds for … both fully- and partially-studentized t statistics. But, subsampling procedures based on the partially-studentized t …