The Error in Rejection Probability of Simple Autocorrelation Robust Tests
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Publication:5475037
DOI10.1111/j.1468-0262.2004.00517.xzbMath1091.62073MaRDI QIDQ5475037
Publication date: 16 June 2006
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1468-0262.2004.00517.x
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60F05: Central limit and other weak theorems
62F35: Robustness and adaptive procedures (parametric inference)
91B84: Economic time series analysis
62F05: Asymptotic properties of parametric tests
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