- International Econometric Review
- Vol: 3 Issue: 2
- A Pretest to Differentiate Between Weak and Nearly-Weak Instrument Asymptotics
A Pretest to Differentiate Between Weak and Nearly-Weak Instrument Asymptotics
Authors : Mehmet Caner
Pages : 13-21
View : 8 | Download : 3
Publication Date : 2011-12-01
Article Type : Other
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