Generic results for establishing the asymptotic size of confidence sets and tests
Donald Andrews (),
Xu Cheng and
Journal of Econometrics, 2020, vol. 218, issue 2, 496-531
This paper provides a set of results that can be used to establish the asymptotic size and/or similarity in a uniform sense of confidence sets and tests. The results are generic in that they can be applied to a broad range of problems. They are most useful in scenarios where the pointwise asymptotic distribution of a test statistic is a discontinuous function of a parameter.
Keywords: Asymptotic size; Autoregressive model; Confidence set; Grid bootstrap; Identification; Inference; Test; Uniform; Weak instruments; Weak identification (search for similar items in EconPapers)
JEL-codes: C10 C12 (search for similar items in EconPapers)
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Working Paper: Generic Results for Establishing the Asymptotic Size of Confidence Sets and Tests (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:218:y:2020:i:2:p:496-531
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