Controlling the size of autocorrelation robust tests
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Publication:1739596
DOI10.1016/J.JECONOM.2018.08.005zbMATH Open1452.62674arXiv1612.06127OpenAlexW2576105077WikidataQ129202007 ScholiaQ129202007MaRDI QIDQ1739596FDOQ1739596
Authors: Benedikt M. Pötscher, David Preinerstorfer 
Publication date: 26 April 2019
Published in: Journal of Econometrics (Search for Journal in Brave)
Abstract: Autocorrelation robust tests are notorious for suffering from size distortions and power problems. We investigate under which conditions the size of autocorrelation robust tests can be controlled by an appropriate choice of critical value.
Full work available at URL: https://arxiv.org/abs/1612.06127
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Cited In (10)
- Testing-optimal kernel choice in HAR inference
- Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings
- The Error in Rejection Probability of Simple Autocorrelation Robust Tests
- Further results on size and power of heteroskedasticity and autocorrelation robust tests, with an application to trend testing
- Optimal HAR inference
- Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models
- Asymptotic F tests under possibly weak identification
- How Reliable are Bootstrap-based Heteroskedasticity Robust Tests?
- Finite-sample corrected inference for two-step GMM in time series
- HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
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