Generic Results for Establishing the Asymptotic Size of Confidence Sets and Tests

Abstract:     
This paper provides a set of results that can be used to establish the asymptotic size and/or similarity in a uniform sense of confidence sets and tests. The results are generic in that they can be applied to a broad range of problems. They are most useful in scenarios where the pointwise asymptotic distribution of a test statistic has a discontinuity in its limit distribution.

The results are illustrated in three examples. These are: (i) the conditional likelihood ratio test of Moreira (2003) for linear instrumental variables models with instruments that may be weak, extended to the case of heteroskedastic errors; (ii) the grid bootstrap confidence interval of Hansen (1999) for the sum of the AR coefficients in a k-th order autoregressive model with unknown innovation distribution, and (iii) the standard quasi-likelihood ratio test in a nonlinear regression model where identification is lost when the coefficient on the nonlinear regressor is zero.

Number of Pages in PDF File: 48

Keywords: Asymptotically similar, Asymptotic size, Autoregressive model, Confidence interval, Nonlinear regression, Test, Weak instruments

JEL Classification: C12, C18, C22, C26

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