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Applications of subsampling, hybrid, and size-correction methods. (English) Zbl 1431.62581

Summary: This paper analyzes the properties of subsampling, hybrid subsampling, and size-correction methods in two non-regular models. The latter two procedures are introduced in [D. W. K. Andrews and P. Guggenberger, Econometrica 77, No. 3, 721–762 (2009; Zbl 1176.62117)]. The models are non-regular in the sense that the test statistics of interest exhibit a discontinuity in their limit distribution as a function of a parameter in the model. The first model is a linear instrumental variables (IV) model with possibly weak IVs estimated using two-stage least squares (2SLS). In this case, the discontinuity occurs when the concentration parameter is zero. The second model is a linear regression model in which the parameter of interest may be near a boundary. In this case, the discontinuity occurs when the parameter is on the boundary.{ }The paper shows that in the IV model one-sided and equal-tailed two-sided subsampling tests and confidence intervals (CIs) based on the 2SLS \(t\) statistic do not have correct asymptotic size. This holds for both fully- and partially-studentized \(t\) statistics. But, subsampling procedures based on the partially-studentized \(t\) statistic can be size-corrected. On the other hand, symmetric two-sided subsampling tests and CIs are shown to have (essentially) correct asymptotic size when based on a partially-studentized \(t\) statistic. Furthermore, all types of hybrid subsampling tests and CIs are shown to have correct asymptotic size in this model. The above results are consistent with “impossibility” results of J.-M. Dufour [Econometrica 65, No. 6, 1365–1387 (1997; Zbl 0886.62116)] because subsampling and hybrid subsampling CIs are shown to have infinite length with positive probability.{ }Subsampling CIs for a parameter that may be near a lower boundary are shown to have incorrect asymptotic size for upper one-sided and equal-tailed and symmetric two-sided CIs. Again, size-correction is possible. In this model as well, all types of hybrid subsampling CIs are found to have correct asymptotic size.

MSC:

62P20 Applications of statistics to economics
62F03 Parametric hypothesis testing
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20 Asymptotic distribution theory in statistics
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References:

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