Inference when a nuisance parameter is weakly identified under the null hypothesis
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Hansen, Bruce E, 1996.
"Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis,"
Econometrica, Econometric Society, vol. 64(2), pages 413-430, March.
- Hansen, B.E., 1991. "Inference when a Nuisance Parameter is Not Identified Under the Null Hypothesis," RCER Working Papers 296, University of Rochester - Center for Economic Research (RCER).
- Tom Doan, "undated". "TAR: RATS procedure to estimate a threshold autoregression, tests for threshold effect," Statistical Software Components RTS00209, Boston College Department of Economics.
- Tom Doan, "undated". "RATS programs to replicate Hansen's threshold estimation and testing results," Statistical Software Components RTZ00091, Boston College Department of Economics.
- Hansen, Bruce E, 1997.
"Approximate Asymptotic P Values for Structural-Change Tests,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 60-67, January.
- Bruce E. Hansen, 1995. "Approximate Asymptotic P-Values for Structural Change Tests," Boston College Working Papers in Economics 297., Boston College Department of Economics.
- Andrews, Donald W K & Ploberger, Werner, 1994.
"Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative,"
Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November.
- Donald W.K. Andrews & Werner Ploberger, 1992. "Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative," Cowles Foundation Discussion Papers 1015, Cowles Foundation for Research in Economics, Yale University.
- Tripathi, Gautam, 1999. "A matrix extension of the Cauchy-Schwarz inequality," Economics Letters, Elsevier, vol. 63(1), pages 1-3, April.
- Douglas Staiger & James H. Stock, 1997.
"Instrumental Variables Regression with Weak Instruments,"
Econometrica, Econometric Society, vol. 65(3), pages 557-586, May.
- Douglas Staiger & James H. Stock, 1994. "Instrumental Variables Regression with Weak Instruments," NBER Technical Working Papers 0151, National Bureau of Economic Research, Inc.
- James H. Stock & Jonathan Wright, 2000. "GMM with Weak Identification," Econometrica, Econometric Society, vol. 68(5), pages 1055-1096, September.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Jiake Li & Wei Wang & Meng Li & Qiao Li & Zeming Liu & Wei Chen & Yanan Wang, 2022. "Impact of Land Management Scale on the Carbon Emissions of the Planting Industry in China," Land, MDPI, vol. 11(6), pages 1-15, May.
- Efthymios G. Tsionas & Kien C. Tran & Panayotis G. Michaelides, 2019.
"Bayesian inference in threshold stochastic frontier models,"
Empirical Economics, Springer, vol. 56(2), pages 399-422, February.
- Tsionas, Efthymios G. & Tran, Kien C. & Michaelides, Panayotis G., 2017. "Bayesian inference in threshold stochastic frontier models," LSE Research Online Documents on Economics 86848, London School of Economics and Political Science, LSE Library.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Cheng, Xu, 2015. "Robust inference in nonlinear models with mixed identification strength," Journal of Econometrics, Elsevier, vol. 189(1), pages 207-228.
- Donald W. K. Andrews & Xu Cheng, 2012.
"Estimation and Inference With Weak, Semi‐Strong, and Strong Identification,"
Econometrica, Econometric Society, vol. 80(5), pages 2153-2211, September.
- Donald W.K. Andrews & Xu Cheng, 2010. "Estimation and Inference with Weak, Semi-strong, and Strong Identification," Cowles Foundation Discussion Papers 1773, Cowles Foundation for Research in Economics, Yale University.
- Donald W.K. Andrews & Xu Cheng, 2010. "Estimation and Inference with Weak, Semi-strong, and Strong Identification," Cowles Foundation Discussion Papers 1773R, Cowles Foundation for Research in Economics, Yale University, revised Jul 2011.
- Xu Cheng, 2014. "Uniform Inference in Nonlinear Models with Mixed Identification Strength," PIER Working Paper Archive 14-018, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Efthymios G. Tsionas & Kien C. Tran & Panayotis G. Michaelides, 2019.
"Bayesian inference in threshold stochastic frontier models,"
Empirical Economics, Springer, vol. 56(2), pages 399-422, February.
- Tsionas, Efthymios G. & Tran, Kien C. & Michaelides, Panayotis G., 2017. "Bayesian inference in threshold stochastic frontier models," LSE Research Online Documents on Economics 86848, London School of Economics and Political Science, LSE Library.
- Öğünç, Fethi & Akdoğan, Kurmaş & Başer, Selen & Chadwick, Meltem Gülenay & Ertuğ, Dilara & Hülagü, Timur & Kösem, Sevim & Özmen, Mustafa Utku & Tekatlı, Necati, 2013.
"Short-term inflation forecasting models for Turkey and a forecast combination analysis,"
Economic Modelling, Elsevier, vol. 33(C), pages 312-325.
- Kurmas Akdogan & Selen Baser & Meltem Gulenay Chadwick & Dilara Ertug & Timur Hulagu & Sevim Kosem & Fethi Ogunc & M. Utku Ozmen & Necati Tekatli, 2012. "Short-Term Inflation Forecasting Models For Turkey and a Forecast Combination Analysis," Working Papers 1209, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Lütkepohl,Helmut & Krätzig,Markus (ed.), 2004. "Applied Time Series Econometrics," Cambridge Books, Cambridge University Press, number 9780521547871, January.
- Travaglini, Guido, 2007. "The U.S. Dynamic Taylor Rule With Multiple Breaks, 1984-2001," MPRA Paper 3419, University Library of Munich, Germany, revised 15 Jun 2007.
- Mehmet Caner & Bruce E. Hansen, 2001.
"Threshold Autoregression with a Unit Root,"
Econometrica, Econometric Society, vol. 69(6), pages 1555-1596, November.
- Bruce E. Hansen & Mehmet Caner, 1997. "Threshold Autoregressions with a Unit Root," Boston College Working Papers in Economics 381, Boston College Department of Economics.
- Pelizzon, Loriana & Subrahmanyam, Marti G. & Tomio, Davide & Uno, Jun, 2016. "Sovereign credit risk, liquidity, and European Central Bank intervention: Deus ex machina?," Journal of Financial Economics, Elsevier, vol. 122(1), pages 86-115.
- repec:bla:ecorec:v:91:y:2015:i::p:1-24 is not listed on IDEAS
- Alastair R. Hall, 2015. "Econometricians Have Their Moments: GMM at 32," The Economic Record, The Economic Society of Australia, vol. 91(S1), pages 1-24, June.
- Hansen, Bruce E., 2000.
"Testing for structural change in conditional models,"
Journal of Econometrics, Elsevier, vol. 97(1), pages 93-115, July.
- Bruce E. Hansen, 1998. "Testing for Structural Change in Conditional Models," Boston College Working Papers in Economics 310., Boston College Department of Economics.
- Tom Doan, "undated". "RATS programs to replicate structural break test with Hansen's fixed regressor bootstrap," Statistical Software Components RTZ00089, Boston College Department of Economics.
- Tom Doan, "undated". "REGHBREAK: RATS procedure to perform structural break test with bootstrapped p-values," Statistical Software Components RTS00176, Boston College Department of Economics.
- Khalaf, Lynda & Kichian, Maral, 2005. "Exact tests of the stability of the Phillips curve: the Canadian case," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 445-460, April.
- Andreas Pick, 2007. "Financial contagion and tests using instrumental variables," DNB Working Papers 139, Netherlands Central Bank, Research Department.
- Lütkepohl, Helmut & Milunovich, George & Yang, Minxian, 2020.
"Inference in partially identified heteroskedastic simultaneous equations models,"
Journal of Econometrics, Elsevier, vol. 218(2), pages 317-345.
- Helmut Lütkepohl & George Milunivich & Minxian Yang, 2016. "Inference in Partially Identified Heteroskedastic Simultaneous Equations Models," Discussion Papers of DIW Berlin 1632, DIW Berlin, German Institute for Economic Research.
- Helmut Lutkepohl & George Milunovich & Minxian Yang, 2016. "Inference in Partially Identified Heteroskedastic Simultaneous Equations Models," Discussion Papers 2016-19, School of Economics, The University of New South Wales.
- Sophocles Mavroeidis, 2006. "Testing the New Keynesian Phillips Curve Without Assuming Identification," Working Papers 2006-13, Brown University, Department of Economics.
- Christis Katsouris, 2023. "Estimation and Inference in Threshold Predictive Regression Models with Locally Explosive Regressors," Papers 2305.00860, arXiv.org, revised May 2023.
- Pelizzon, Loriana & Subrahmanyam, Marti G. & Tomio, Davide & Uno, Jun, 2015. "Sovereign credit risk, liquidity, and ECB intervention: Deus ex machina?," SAFE Working Paper Series 95, Leibniz Institute for Financial Research SAFE.
- Jing Li & Junsoo Lee, 2010. "ADL tests for threshold cointegration," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(4), pages 241-254, July.
- Isaiah Andrews & Anna Mikusheva, 2016. "Conditional Inference With a Functional Nuisance Parameter," Econometrica, Econometric Society, vol. 84, pages 1571-1612, July.
- Candelon, Bertrand & Lieb, Lenard, 2013.
"Fiscal policy in good and bad times,"
Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2679-2694.
- Candelon, B. & Lieb, L.M., 2011. "Fiscal policy in good and bad times," Research Memorandum 001, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecolet:v:84:y:2004:i:2:p:245-254. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/ecolet .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.