Uniform Inference in Autoregressive Models

By A. Mikusheva. 2007

185 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/e95985fc10d2431230ead02020861224d0277471

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Citations in the corpus

Uniformity and the Delta Method (2015, background): “…(Staiger and Stock 1997; Moreira 2003; Andrews et al. 2006); the ‘local-to-unit root’ analysis for autoregressive parameters (see Stock and Watson 1996; Mikusheva 2007); and the behavior of estimators, tests and conﬁdence sets that follow a pre-testing or a model selection stage (Leeb and…”
Inference for Parameters Defined by Moment Inequalities Using Generalized Moment Selection (2007, unknown): “Andrews and Guggenberger (2005a,b,c) and Mikusheva (2007) show that when a test statistic has a discontinuity in its limit distribution, as occurs in the moment inequality/equality model, pointwise asymptotics (in which one takes the “ lim” before the “ sup ”) can be very misleading in some models.”
Weak Identification in Fuzzy Regression Discontinuity Designs (2016, methodology): “…values can be generated using the approach of Moreira (2001, 2003) by conditioning on a statistic that is (i) asymptotically independent of Yn − β Xn, and (ii) summarizes the information on the strength of identification (see also Andrews, Moreira, and Stock 2006; Mills, Moreira, and Vilela 2014).”
Bonferroni-Based Size-Correction for Nonstandard Testing Problems (2017, unknown): “…parameter-discontinuous testing framework of this paper, one must examine the maximal NRP uniformly, over the entire parameter space, as the sample size grows in order to determine the asymptotic size of the test (see e.g., the work of Mikusheva, 2007 and Andrews and Guggenberger, 2009b, 2010b).”
Estimating deterministic trends with an integrated or stationary noise component (2009, background): “In fact, it is lower than 1 so that, without modifications, a 1It is, however, possible to show, using the results of Mikusheva (2007), that our test has an asymptotic size no higher than the stated nominal size uniformly over |α| ≤ 1.”
VALIDITY OF SUBSAMPLING AND “PLUG-IN ASYMPTOTIC” INFERENCE FOR PARAMETERS DEFINED BY MOMENT INEQUALITIES (2009, methodology): “Furthermore, Andrews and Guggenberger (2005, 2009a, 2009b, 2010) Mikusheva (2007), and Guggenberger (2008, suppl.) show that even subsampling and m out of n bootstrap methods often fail to deliver correct asymptotic size.”
Local Projection Inference Is Simpler and More Robust Than You Think (2020, background): “In the AR(2) model, a non-normal limit arises at h = 2 when there is a unit root and the autoregressive coefficients are equal (Inoue and Kilian, 2020, Remark 3, p. 455). lead to poor finite sample performance (e.g., Mikusheva, 2007, p. 1412).”
Generic results for establishing the asymptotic size of confidence sets and tests (2020, methodology): “17 The results from Mikusheva (2007) that are employed in the proof are not related to uniformity issues.”
Nonparametric Instrumental Variable Estimation Under Monotonicity (2015, unknown): “Q.E.D.”
Incorrect asymptotic size of subsampling procedures based on post-consistent model selection estimators (2009, methodology): “Other papers that consider uniformity properties of subsampling methods include (i) Andrews and Guggenberger (2005a, 2009a,b, 2010), who provide explicit expressions for asymptotic size, improvements to subsampling based on hybrid and size-correction methods, and applications to a variety of di¤eren”
ASYMPTOTIC SIZE AND A PROBLEM WITH SUBSAMPLING AND WITH THE m OUT OF n BOOTSTRAP (2009, background): “(vi) Mikusheva (2007) presents a counter-example to the uniform asymptotic validity of an equal-tailed subsampling CI in the context of an autoregressive model.”
Robust inference for threshold regression models (2017, background): “Mikusheva (2007) showed that test inversion BCI attains correct coverage probability uniformly over the parameter space for the sum of coefficients in autoregressive models, despite the behavior of the estimator not being uniform over the parameter space.”
On the uniform asymptotic validity of subsampling and the bootstrap (2012, background): “See also Mikusheva (2007), who analyzes the uniform asymptotic behavior of some tests that arise in the context of an autoregressive model.”
Testing for Shifts in Trend With an Integrated or Stationary Noise Component (2009, result): “…result obtained in Theorem 1 is pointwise in α for −1 α ≤ 1 and does not hold uniformly, particularly in a local neighborhood of 1, although, using the results of Mikusheva (2007), we could show that our test has an asymptotic size no greater than the stated nominal size uniformly over |α| 1.”
Predictive quantile regression with persistent covariates: IVX-QR approach (2015, methodology): “Not using any estimated c (which is not consistently estimable) is a key idea to avoid the invalidity issues with I(0)-MI predictors, raised in the recent literature (e.g., Mikusheva, 2007; Phillips, 2014).”
On Confidence Intervals for Autoregressive Roots and Predictive Regression (2012, methodology): “Hansen (1999) and Mikusheva (2007) suggested to construct confidence intervals by performing test inversion with a properly centred t-ratio statistic (Hansen) or a general test function involving a centred numerator and separate denominator components (Mikusheva).”