A Pretest to Differentiate Between Weak and Nearly-Weak Instrument Asymptotics

Authors : Mehmet CANER

Pages : 13-21

View : 15 | Download : 15

Publication Date : 2011-12-01

Article Type : Research Paper

Abstract :We propose a pretest, bootstrap Kolmogorov-Smirnov test, to differentiate between weak and nearly-weak asymptotics. This is based on bootstrapping Wald Continuous Updating Estimator insert ignore into journalissuearticles values(CUE); based test. Since Wald CUE test has different limits under weak and nearly-weak cases this can be used in a pretest. We also conduct some simulations and show that some of the asset pricing models conform to nearly-weak asymptotics.
Keywords : Bootstrap, Kolmogorov Smirnov Test