This paper establishes the higher-order equivalence of the k-step bootstrap, introduced recently by Davidson and MacKinnon (1999a), and the standard bootstrap. The k-step bootstrap is a very attractive alternative computationally to the standard bootstrap for statistics based on nonlinear...

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...

The asymptotic refinements attributable to the block bootstrap for time series are not as large as those of the nonparametric iid bootstrap or the parametric bootstrap. One reason is that the independence between the blocks in the block bootstrap sample does not mimic the dependence structure of...

This paper considers tests of the parameter on endogenous variables in an instrumental variables regression model. The focus is on determining tests that have some optimal power properties. We start by considering a model with normally distributed errors and known error covariance matrix. We...

This paper considers hypothesis tests for nonlinear econometric models when the parameter space is restricted under the alternative hypothesis. Multivariate one-sided tests are a leading example. Asymptotically optimal tests are derived using a weighted average power criterion. In addition, the...

This paper presents several generic uniform convergence results that include generic uniform laws of large numbers. These results provide conditions under which pointwise convergence almost surely or in probability can be strengthened to uniform convergence. The results are useful for...

This paper introduces approximately median-unbiased estimators for univariate AR(p) models with time trends. Confidence intervals also are considered. The methods are applied to the Nelson-Plosser macroeconomic data series, the extended Nelson-Plosser macroeconomic data series, and some annual...

This paper considers tests for structural instability of short duration, such as at the end of the sample. The key feature of the testing problem is that the number, m, of observations in the period of potential change is relatively small -- possibly as small as one. The well-known F test of...

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 provides a general framework for proving the square root of T consistency and asymptotic normality of a wide variety of semiparametric estimators. The results apply in time series and cross-sectional modeling contexts. The class of estimators considered consists of estimators that can...