A Pretest to Differentiate Between Weak and Nearly-Weak Instrument Asymptotics
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 p...
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| Format: | Article |
| Language: | English |
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Econometric Research Association
2011-09-01
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| Series: | International Econometric Review |
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| Online Access: | http://www.era.org.tr/makaleler/11070063.pdf |