This paper analyzes the properties of subsampling, hybrid subsampling, and size-correction methods in two non-regular models. The latter two procedures are introduced in Andrews and Guggenberger (2005b). The models are non-regular in the sense that the test statistics of interest exhibit a...

The widely used log-periodogram regression estimator of the long-memory parameter d proposed by Geweke and Porter-Hudak (1983) (GPH) has been criticized because of its finite-sample bias, see Agiakloglou, Newbold, and Wohar (1993). In this paper, we propose a simple bias-reduced log-periodogram...

This paper considers inference based on a test statistic that has a limit distribution that is discontinuous in a nuisance parameter or the parameter of interest. The paper shows that subsample, b_n n bootstrap, and standard fixed critical value tests based on such a test statistic often have...

This paper considers inference based on a test statistic that has a limit distribution that is discontinuous in a nuisance parameter or the parameter of interest. The paper shows that subsample, b_n n bootstrap, and standard fixed critical value tests based on such a test statistic often have...

This paper considers inference for parameters defined by moment inequalities and equalities. The parameters need not be identified. For a specified class of test statistics, this paper establishes the uniform asymptotic validity of subsampling, m out of n bootstrap, and "plug-in asymptotic"...

This paper considers a mean zero stationary first-order autoregressive (AR) model. It is shown that the least squares estimator and t statistic have Cauchy and standard normal asymptotic distributions, respectively, when the AR parameter rho_n is very near to one in the sense that 1 - rho_n =...

This paper considers the problem of constructing tests and confidence intervals (CIs) that have correct asymptotic size in a broad class of non-regular models. The models considered are non-regular in the sense that standard test statistics have asymptotic distributions that are discontinuous in...

This paper considers a first-order autoregressive model with conditionally heteroskedastic innovations. The asymptotic distributions of least squares (LS), infeasible generalized least squares (GLS), and feasible GLS estimators and t statistics are determined. The GLS procedures allow for...

This paper considers a first-order autoregressive model with conditionally heteroskedastic innovations. The asymptotic distributions of least squares (LS), infeasible generalized least squares (GLS), and feasible GLS estimators and t statistics are determined. The GLS procedures allow for...

This paper provides a set of results that can be used to establish the asymptotic size and/or similarity in a uniform sense of confidence sets and tests. The results are generic in that they can be applied to a broad range of problems. They are most useful in scenarios where the pointwise...