3 papers
econ.EM2025
Numerical Analysis of Test Optimality
Philipp Ketz, Adam McCloskey, Jan Scherer
In nonstandard testing environments, researchers often derive ad hoc tests with correct (asymptotic) size, but their optimality properties are typically unknown a priori and diffic…
econ.EM2022
Allowing for weak identification when testing GARCH-X type models
Philipp Ketz
In this paper, we use the results in Andrews and Cheng (2012), extended to allow for parameters to be near or at the boundary of the parameter space, to derive the asymptotic distr…
econ.EM2021
Short and Simple Confidence Intervals when the Directions of Some Effects are Known
Philipp Ketz, Adam McCloskey
We provide adaptive confidence intervals on a parameter of interest in the presence of nuisance parameters when some of the nuisance parameters have known signs. The confidence int…