Applications of Subsampling, Hybrid, and Size-Correction Methods

Donald Andrews () and Patrik Guggenberger

No 1608, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: This paper analyzes the properties of subsampling, hybrid subsampling, and size-correction methods in two non-regular models. The latter two procedures are introduced in Andrews and Guggenberger (2005b). The models are non-regular in the sense that the test statistics of interest exhibit a discontinuity in their limit distribution as a function of a parameter in the model. The first model is a linear instrumental variables (IV) model with possibly weak IVs estimated using two-stage least squares (2SLS). In this case, the discontinuity occurs when the concentration parameter is zero. The second model is a linear regression model in which the parameter of interest may be near a boundary. In this case, the discontinuity occurs when the parameter is on the boundary. The paper shows that in the IV model one-sided and equal-tailed two-sided subsampling tests and confidence intervals (CIs) based on the 2SLS t statistic do not have correct asymptotic size. This holds for both fully- and partially-studentized t statistics. But, subsampling procedures based on the partially-studentized t statistic can be size-corrected. On the other hand, symmetric two-sided subsampling tests and CIs are shown to have (essentially) correct asymptotic size when based on a partially-studentized t statistic. Furthermore, all types of hybrid subsampling tests and CIs are shown to have correct asymptotic size in this model. The above results are consistent with "impossibility" results of Dufour (1997) because subsampling and hybrid subsampling CIs are shown to have infinite length with positive probability. Subsampling CIs for a parameter that may be near a lower boundary are shown to have incorrect asymptotic size for upper one-sided and equal-tailed and symmetric two-sided CIs. Again, size-correction is possible. In this model as well, all types of hybrid subsampling CIs are found to have correct asymptotic size.

Keywords: Asymptotic size; Finite-sample size; Hybrid test; Instrumental variable; Over-rejection; Parameter near boundary; Size correction; Subsampling confidence interval; Subsampling test; Weak instrument (search for similar items in EconPapers)
JEL-codes: C12 C15 (search for similar items in EconPapers)
Pages: 45 pages
Date: 2007-05
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://cowles.yale.edu/sites/default/files/files/pub/d16/d1608.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
Journal Article: Applications of subsampling, hybrid, and size-correction methods (2010)
Working Paper: Applications of Subsampling, Hybrid, and Size-Correction Methods (joint with D.W.K. Andrews), 2005, this version May 2007
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cwl:cwldpp:1608

Ordering information: This working paper can be ordered from
Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
The price is None.

Access Statistics for this paper

More papers in Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University Yale University, Box 208281, New Haven, CT 06520-8281 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Brittany Ladd ().