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Maximum Likelihood Estimation and Uniform Inference with Sporadic Identification Failure
Andrews, Donald W. K.; Cheng, Xu - Cowles Foundation for Research in Economics, Yale University - 2011
This paper analyzes the properties of a class of estimators, tests, and confidence sets (CS's) when the parameters are not identified in parts of the parameter space. Specifically, we consider estimator criterion functions that are sample averages and are smooth functions of a parameter theta....
Persistent link: https://www.econbiz.de/10010686939
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The impact of a Hausman pretest on the asymptotic size of a hypothesis test
Guggenberger, Patrik - In: Econometric theory 26 (2010) 2, pp. 369-382
Persistent link: https://www.econbiz.de/10003968594
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The impact of a Hausman pretest on the size of a hypothesis test : the panel data case
Guggenberger, Patrik - In: Journal of econometrics 156 (2010) 2, pp. 337-343
Persistent link: https://www.econbiz.de/10008648810
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A note on the relation between local power and robustness to misspecification
Guggenberger, Patrik - In: Economics letters 116 (2012) 2, pp. 133-135
Persistent link: https://www.econbiz.de/10009674534
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On the asymptotic size distortion of tests when instruments locally violate the exogeneity assumption
Guggenberger, Patrik - In: Econometric theory 28 (2012) 2, pp. 387-421
Persistent link: https://www.econbiz.de/10009520937
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A note on the (in)consistency of the test of overidentifying restrictions and the concepts of true and pseudo-true parameters
Guggenberger, Patrik - In: Economics letters 117 (2012) 3, pp. 901-904
Persistent link: https://www.econbiz.de/10009682542
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Finite sample evidence suggesting a heavy tail problem of the generalized empirical likelihood estimator
Guggenberger, Patrik - In: Econometric reviews 27 (2008) 4/6, pp. 526-541
Persistent link: https://www.econbiz.de/10003761331
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A simple counterexample to the bootstrap
Andrews, Donald W. K. - 1997
Persistent link: https://www.econbiz.de/10000673157
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Higher-order improvements of the parametric bootstrap for Markov processes
Andrews, Donald W. K. - In: Identification and inference for econometric models : …, (pp. 171-215). 2005
Persistent link: https://www.econbiz.de/10003351957
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Similar-on-the-boundary tests for moment inequalities exist, but have poor power
Andrews, Donald W. K. - 2011 - rev.
Persistent link: https://www.econbiz.de/10009243373