Hybrid and Size-corrected subsampling methods

Donald W.K. Andrews, Patrik Guggenberger

Research output: Contribution to journalArticlepeer-review

55 Scopus citations

Abstract

This paper considers inference in a broad class of nonregular models. The models considered are nonregular in the sense that standard test statistics have asymptotic distributions that are discontinuous in some parameters. It is shown in Andrews and Guggenberger (2009a) that standard fixed critical value, subsampling, and m out of n bootstrap methods often have incorrect asymptotic size in such models. This paper introduces general methods of constructing tests and confidence intervals that have correct asymptotic size. In particular, we consider a hybrid subsampling/fixed-critical-value method and size-correction methods. The paper discusses two examples in detail. They are (i) confidence intervals in an autoregressive model with a root that may be close to unity and conditional heteroskedasticity of unknown form and (ii) tests and confidence intervals based on a post-conservative model selection estimator.

Original languageEnglish (US)
Pages (from-to)721-762
Number of pages42
JournalEconometrica
Volume77
Issue number3
DOIs
StatePublished - May 1 2009

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

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