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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Bibliographic Details
Main Author:	Mehmet Caner
Format:	Article
Language:	English
Published:	Econometric Research Association 2011-09-01
Series:	International Econometric Review
Subjects:	Bootstrap Kolmogorov-Smirnov Test
Online Access:	http://www.era.org.tr/makaleler/11070063.pdf

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spelling	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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A Pretest to Differentiate Between Weak and Nearly-Weak Instrument Asymptotics

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