Generic results for establishing the asymptotic size of confidence sets and tests

A-Tier
Journal: Journal of Econometrics
Year: 2020
Volume: 218
Issue: 2
Pages: 496-531

Authors (3)

Andrews, Donald W.K. (Yale University) Cheng, Xu (not in RePEc) Guggenberger, Patrik (not in RePEc)

Score contribution per author:

1.341 = (α=2.01 / 3 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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 is a discontinuous function of a parameter.

Technical Details

RePEc Handle
repec:eee:econom:v:218:y:2020:i:2:p:496-531
Journal Field
Econometrics
Author Count
3
Added to Database
2026-01-24