Further Results on Size and Power of Heteroskedasticity and Autocorrelation Robust Tests, with an Application to Trend Testing

Benedikt Pötscher and David Preinerstorfer

MPRA Paper from University Library of Munich, Germany

Abstract: We complement the theory developed in Preinerstorfer and Pötscher (2016) with further finite sample results on size and power of heteroskedasticity and autocorrelation robust tests. These allow us, in particular, to show that the sufficient conditions for the existence of size-controlling critical values recently obtained in Pötscher and Preinerstorfer (2016) are often also necessary. We furthermore apply the results obtained to tests for hypotheses on deterministic trends in stationary time series regressions, and find that many tests currently used are strongly size-distorted.

Keywords: size-distortion; autocorrelation and heteroskedasticity robust testing; trend testing (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Date: 2017
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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