Hybrid and Size-corrected Subsample Methods

@inproceedings{Andrews2005HybridAS,
  title={Hybrid and Size-corrected Subsample Methods},
  author={Donald W. K. Andrews},
  year={2005}
}
This paper considers the problem of constructing tests and con dence 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 xed critical value, subsample, and b < n bootstrap methods often have incorrect size in such models. This paper introduces… CONTINUE READING
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