Hybrid and Size-Corrected Subsample Methods

Donald Andrews () and Patrik Guggenberger

No 1606, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: This paper considers the problem of constructing tests and confidence intervals (CIs) that have correct asymptotic size in a broad class of non-regular models. The models considered are non-regular in the sense that standard test statistics have asymptotic distributions that are discontinuous in some parameters. It is shown in Andrews and Guggenberger (2005a) that standard fixed critical value, subsample, and b

Keywords: Asymptotic size; Autoregressive model; b (search for similar items in EconPapers)
JEL-codes: C12 C15 (search for similar items in EconPapers)
Pages: 86 pages
Date: 2007-03
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (4)

Published in Econometrica (May 2009), 77(3): 721-762

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