Further results on size and power of heteroskedasticity and autocorrelation robust tests, with an application to trend testing
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Publication:2326985
DOI10.1214/19-EJS1611zbMATH Open1429.62411arXiv1708.08688MaRDI QIDQ2326985FDOQ2326985
Authors: Benedikt M. Pötscher, David Preinerstorfer 
Publication date: 11 October 2019
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Abstract: We complement the theory developed in Preinerstorfer and P"otscher (2016) with further finite sample results on size and power of heteroskedasticity and autocorrelation robust tests. These allows us, in particular, to show that the sufficient conditions for the existence of size-controlling critical values recently obtained in P"otscher and Preinerstorfer (2018) are often also necessary. We furthermore apply the results obtained to tests for hypotheses on deterministic trends in stationary time series regressions, and find that many tests currently used are strongly size-distorted.
Full work available at URL: https://arxiv.org/abs/1708.08688
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Cited In (8)
- Testing-optimal kernel choice in HAR inference
- Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings
- On size and power of heteroskedasticity and autocorrelation robust tests
- Power maximization and size control in heteroskedasticity and autocorrelation robust tests with exponentiated kernels
- Optimal HAR inference
- 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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