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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doaj-582f98a5e46d47f99b558db673d2410b2020-11-25T00:08:10ZengEconometric Research AssociationInternational Econometric Review1308-87931308-88152011-09-01325058A Pretest to Differentiate Between Weak and Nearly-Weak Instrument AsymptoticsMehmet Caner0North Carolina State UniversityWe 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 pretest. We also conduct some simulations and show that some of the asset pricing models conform to nearly-weak asymptotics.http://www.era.org.tr/makaleler/11070063.pdfBootstrapKolmogorov-Smirnov Test |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Mehmet Caner |
spellingShingle |
Mehmet Caner A Pretest to Differentiate Between Weak and Nearly-Weak Instrument Asymptotics International Econometric Review Bootstrap Kolmogorov-Smirnov Test |
author_facet |
Mehmet Caner |
author_sort |
Mehmet Caner |
title |
A Pretest to Differentiate Between Weak and Nearly-Weak Instrument Asymptotics |
title_short |
A Pretest to Differentiate Between Weak and Nearly-Weak Instrument Asymptotics |
title_full |
A Pretest to Differentiate Between Weak and Nearly-Weak Instrument Asymptotics |
title_fullStr |
A Pretest to Differentiate Between Weak and Nearly-Weak Instrument Asymptotics |
title_full_unstemmed |
A Pretest to Differentiate Between Weak and Nearly-Weak Instrument Asymptotics |
title_sort |
pretest to differentiate between weak and nearly-weak instrument asymptotics |
publisher |
Econometric Research Association |
series |
International Econometric Review |
issn |
1308-8793 1308-8815 |
publishDate |
2011-09-01 |
description |
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 pretest. We also conduct some simulations and
show that some of the asset pricing models conform to nearly-weak asymptotics. |
topic |
Bootstrap Kolmogorov-Smirnov Test |
url |
http://www.era.org.tr/makaleler/11070063.pdf |
work_keys_str_mv |
AT mehmetcaner apretesttodifferentiatebetweenweakandnearlyweakinstrumentasymptotics AT mehmetcaner pretesttodifferentiatebetweenweakandnearlyweakinstrumentasymptotics |
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1725416494964146176 |