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

Mehmet Caner

International Econometric Review (IER), 2011, vol. 3, issue 2, 13-21

Abstract: 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.

Keywords: Bootstrap; Kolmogorov-Smirnov Test (search for similar items in EconPapers)
JEL-codes: C11 C20 C30 (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:erh:journl:v:3:y:2011:i:2:p:13-21

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