Controlling the size of autocorrelation robust tests
Benedikt Pötscher () and
Journal of Econometrics, 2018, vol. 207, issue 2, 406-431
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.
Keywords: Autocorrelation robust testing; Size control (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
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Working Paper: Controlling the Size of Autocorrelation Robust Tests (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:207:y:2018:i:2:p:406-431
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