Controlling the Size of Autocorrelation Robust Tests

Benedikt Pötscher and David Preinerstorfer

MPRA Paper from University Library of Munich, Germany

Abstract: 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 tests; size control (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2016-11
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (1)

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https://mpra.ub.uni-muenchen.de/75657/1/MPRA_paper_75657.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/85570/1/MPRA_paper_85570.pdf revised version (application/pdf)
https://mpra.ub.uni-muenchen.de/88815/8/MPRA_paper_88815.pdf revised version (application/pdf)

Related works:
Journal Article: Controlling the size of autocorrelation robust tests (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:75657

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