THE IMPACT OF A HAUSMAN PRETEST ON THE ASYMPTOTIC SIZE OF A HYPOTHESIS TEST

By Patrik Guggenberger. Econometric Theory, 2009

63 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/f04ce88230a9d07c8bf8a8bc8929fb1fbe8b1313

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Citations in the corpus

Uniformity and the Delta Method (2015, background): “…2003; Andrews et al. 2006); the ‘local-tounit 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 Pötscher 2005; Guggenberger 2010a).”
Pre-Event Trends in the Panel Event-Study Design (2019, background): “Guggenberger (2010), in particular, makes a very similar argument in the context of choosing between OLS or IV estimation. endogeneity, as we do here.”
ASYMPTOTIC SIZE AND A PROBLEM WITH SUBSAMPLING AND WITH THE m OUT OF n BOOTSTRAP (2009, result): “The results of the paper are shown below, in Andrews and Guggenberger (2005, 2009a, 2009b, 2009c), and in Guggenberger (2007, 2009) to apply to a wide variety of examples.”
Testing the Unconfoundedness Assumption via Inverse Probability Weighted Estimators of (L)ATT (2014, background): “(A related problem, the impact of a Hausman pretest on subsequent hypothesis tests, was studied recently by Guggenberger 2010.)”
A Robust Test for Weak Instruments (2013, methodology): “It is well-known that pre-tests can induce uniformity problems (Leeb and Poetscher, 2005; Guggenberger, 2010a,b). However, Stock and Yogo (2005) have shown that in the conditionally homoskedastic and serially uncorrelated case the first stage F statistic can be used to control the Wald test size dis”
Select the Valid and Relevant Moments: An Information-Based LASSO for GMM with Many Moments (2013, methodology): “…_ n satis es p n( _ n o) = Op(1); (ii) g`(Z; ) is twice di¤erentiable in a.e. for any ` 2 D; (iii) for any ` 2 D E " sup f 2 :k ok g kg ;`(Z; )k4 # C; (3.4) E " sup f 2 :k ok g kg ;`(Z; )k2 # C; (3.5) (iv) E g4` (Z; o) C for any ` 2 D; (v) S( o) and S+`( o) are nite and positive de…”
Bonferroni-Based Size-Correction for Nonstandard Testing Problems (2017, unknown): “For example, Andrews and Guggenberger (2010b) illustrate that when examining lower one-sided tests, the limit of the test statistic Wh is stochastically decreasing (increasing) in h1 for h2 0 (h2 ≥ 0).”