Controlling the size of autocorrelation robust tests

被引：12

作者：

Poetscher, Benedikt M. ^{[1
]}

Preinerstorfer, David

机构：

[1] Univ Vienna, Dept Stat, Oskar Morgenstern Pl 1, A-1090 Vienna, Austria

来源：

JOURNAL OF ECONOMETRICS | 2018年 / 207卷 / 02期

基金：

奥地利科学基金会; 新加坡国家研究基金会;

关键词：

Autocorrelation robust testing; Size control; CONSISTENT COVARIANCE-MATRIX; ORIGIN KERNELS; HETEROSKEDASTICITY; TRUNCATION; REGRESSION; SELECTION; POWER;

D O I：

10.1016/j.jeconom.2018.08.005

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 2018 Elsevier B.V. All rights reserved.

引用

页码：406 / 431

页数：26

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