Caner, Mehmet - In: International Econometric Review (IER) 3 (2011) 2, pp. 13-21
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...