Controlling the size of autocorrelation robust tests
Journal
Journal of Econometrics
Type
journal article
Date Issued
2018
Author(s)
Pötscher, Benedikt M.
Preinerstorfer, David
Abstract (De)
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.
Language
English
Keywords
Autocorrelation robust testing
Size control
HSG Classification
contribution to scientific community
Refereed
Yes
Volume
207
Number
2
Start page
406
End page
431
Subject(s)
Eprints ID
266213