Abstract:Pretesting for exogeneity has become a routine in many empirical applications involving instrumental variables (IVs) to decide whether the ordinary least squares (OLS) or the two-stage least squares (2SLS) method is appropriate. Guggenberger (2010) shows that the second-stage t-testbased on the outcome of a Durbin-Wu-Hausman type pretest for exogeneity in the first-stage-has extreme size distortion with asymptotic size equal to 1 when the standard asymptotic critical values are used. In this paper, we first sh… Show more
This supplementary material provides the proofs of the theoretical results stated in the paper "Specification tests for GARCH processes with nuisance parameters on the boundary", as well as some auxiliary lemmas and additional simulation results.
This supplementary material provides the proofs of the theoretical results stated in the paper "Specification tests for GARCH processes with nuisance parameters on the boundary", as well as some auxiliary lemmas and additional simulation results.
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