The Error in Rejection Probability of Simple Autocorrelation Robust Tests

Michael Jansson

Econometrica, 2004, vol. 72, issue 3, 937-946

Abstract: A new class of autocorrelation robust test statistics is introduced. The class of tests generalizes the Kiefer, Vogelsang, and Bunzel (2000) test in a manner analogous to Anderson and Darling's (1952) generalization of the Cramér-von Mises goodness of fit test. In a Gaussian location model, the error in rejection probability of the new tests is found to be O(T-super--1logT), where T denotes the sample size. Copyright The Econometric Society 2004.

Date: 2004
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