Hybrid and Size-Corrected Subsample Methods

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  • 1 January 2007
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      • Published in RePEc
Abstract
This paper considers the problem of constructing tests and confidence intervals (CIs) that have correct asymptotic size in a broad class of non-regular models. The models considered are non-regular in the sense that standard test statistics have asymptotic distributions that are discontinuous in some parameters. It is shown in Andrews and Guggenberger (2005a) that standard fixed critical value, subsample, and b
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