Generic Results for Establishing the Asymptotic Size of Confidence Sets and Tests
This paper provides a set of results that can be used to establish the asymptotic size and/or similarity in a uniform sense of conﬁdence sets and tests. The results are generic in that they can be applied to a broad range of problems. They are most useful in scenarios where the pointwise asymptotic distribution of a test statistic has a discontinuity in its limit distribution. The results are illustrated in three examples. These are: (i) the conditional likelihood ratio test of Moreira (2003) for linear instrumental variables models with instruments that may be weak, extended to the case of heteroskedastic errors; (ii) the grid bootstrap conﬁdence interval of Hansen (1999) for the sum of the AR coeﬀicients in a k-th order autoregressive model with unknown innovation distribution, and (iii) the standard quasi-likelihood ratio test in a nonlinear regression model where identiﬁcation is lost when the coeﬀicient on the nonlinear regressor is zero.
Andrews, Donald W.K.; Cheng, Xu; and Guggenberger, Patrik, "Generic Results for Establishing the Asymptotic Size of Confidence Sets and Tests" (2011). Cowles Foundation Discussion Papers. 2160.