Template-Type: ReDIF-Article 1.0
Author-Name:  Mehmet Caner
Author-Email: mcaner@ncsu.edu
Author-Workplace-Name: North Carolina State University
Title:  A Pretest to Differentiate Between Weak and Nearly-Weak Instrument Asymptotics
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.
Classification-JEL: C11, C20, C30
Keywords: Bootstrap, Kolmogorov-Smirnov Test
Journal: International Econometric Review
Pages: 13-21
Volume: 3
Issue: 2
Year: 2011
Month: September
File-URL: http://www.era.org.tr/makaleler/11070063.pdf
File-Format: Application/pdf
Handle: RePEc:erh:journl:v:3:y:2011:i:2:p:13-21