Controlling the size of autocorrelation robust tests
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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.
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Cited in
(12)- How Reliable are Bootstrap-based Heteroskedasticity Robust Tests?
- Asymptotic F tests under possibly weak identification
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