##
Inference
when a nuisance parameter is weakly identified under the null hypothesis

Citation:

Anatolyev, Stanislav (2004)
“*Inference when a nuisance parameter is weakly identified under the null
hypothesis*”, Economics Letters, Vol. 84, No. 2, pp. 245–254

Abstract:

When a nuisance parameter is weakly identified under the null hypothesis,
the usual asymptotic theory breaks down and standard tests may exhibit
significant size distortions. We provide asymptotic approximations under a
drifting parameter DGP for distributions of classical tests and of those
designed for the case of complete non-identification. Simulations with a
simple SETAR model show that the usual asymptotic theory does fail, although
actual sizes of the classical Likelihood Ratio test display surprising
robustness to the degree of identification.

Paper in RePEc:

Economics Letters 84:2, 245-254

Paper in accepted version:

WeakID.pdf

Cited by:

Donald W.K. Andrews and Patrik Guggenberger (2010)
*"Asymptotic size and a problem with subsampling and with the m out of n bootstrap"*, Econometric Theory, Vol. 26, pp. 426-468.