Publication: Subsampling tests of parameter hypotheses and overidentifying restrictions with possible failure of identification
Subsampling tests of parameter hypotheses and overidentifying restrictions with possible failure of identification
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Wolf, M. (2013). Subsampling tests of parameter hypotheses and overidentifying restrictions with possible failure of identification. International Journal of Approximate Reasoning, 54, 769–792. https://doi.org/10.1016/j.ijar.2012.12.003
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We introduce a general testing procedure inmodels with possible identification failure that has exactasymptotic rejection probability under the null hypothesis. The procedure iswidely applicable and in this paper we apply it to tests of arbitrary linear parameter hypotheses as well as to tests of overidentification in time series models given by unconditional moment conditions. The main idea is to subsample classical tests, like for example theWald or the J test.More precisely, instead of using critical values based on asymptotic theo
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Wolf, M. (2013). Subsampling tests of parameter hypotheses and overidentifying restrictions with possible failure of identification. International Journal of Approximate Reasoning, 54, 769–792. https://doi.org/10.1016/j.ijar.2012.12.003
