Controlling the size of autocorrelation robust tests
From MaRDI portal
Publication:1739596
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.
Recommendations
- Further results on size and power of heteroskedasticity and autocorrelation robust tests, with an application to trend testing
- On size and power of heteroskedasticity and autocorrelation robust tests
- A comparison of the robustness of several tests of short memory to autocorrelated errors
- On the robustness of the F-test to autocorrelation among disturbances
- Size and power of tests of stationarity in highly autocorrelated time series
Cites work
- scientific article; zbMATH DE number 3131469 (Why is no real title available?)
- scientific article; zbMATH DE number 4171117 (Why is no real title available?)
- A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
- Automatic Lag Selection in Covariance Matrix Estimation
- Conditional properties of statistical procedures
- Finite sample properties of tests based on prewhitened nonparametric covariance estimators
- HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
- Hybrid and Size-Corrected Subsampling Methods
- Long run variance estimation and robust regression testing using sharp origin kernels with no truncation
- On size and power of heteroskedasticity and autocorrelation robust tests
- On the Estimation of Regression Coefficients in the Case of an Autocorrelated Disturbance
- On the asymptotic sizes of subset Anderson-Rubin and Lagrange multiplier tests in linear instrumental variables regression
- On the parametrization of autoregressive models by partial autocorrelations
- On the uniform asymptotic validity of subsampling and the bootstrap
- Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
- Power maximization and size control in heteroskedasticity and autocorrelation robust tests with exponentiated kernels
- Simple Robust Testing of Regression Hypotheses
- Tests with correct size when instruments can be arbitrarily weak
- Uniform Inference in Autoregressive Models
Cited in
(10)- HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
- 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
- Asymptotic F tests under possibly weak identification
- How Reliable are Bootstrap-based Heteroskedasticity Robust Tests?
- Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models
- Finite-sample corrected inference for two-step GMM in time series
This page was built for publication: Controlling the size of autocorrelation robust tests
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1739596)
