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Generic results for establishing the asymptotic size of confidence sets and tests

Donald Andrews (), Xu Cheng and Patrik Guggenberger

Journal of Econometrics, 2020, vol. 218, issue 2, 496-531

Abstract: 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)
Date: 2020
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Working Paper: Generic Results for Establishing the Asymptotic Size of Confidence Sets and Tests (2011) Downloads
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DOI: 10.1016/j.jeconom.2020.04.027

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