Finite sample properties of tests based on prewhitened nonparametric covariance estimators
Journal
Electronic Journal of Statistics
Type
journal article
Date Issued
2017
Author(s)
Preinerstorfer, David
Abstract (De)
We analytically investigate size and power properties of a popular family of procedures for testing linear restrictions on the coefficient vector in a linear regression model with temporally dependent errors. The tests considered are autocorrelation-corrected F-type tests based on prewhitened nonparametric covariance estimators that possibly incorporate a data-dependent bandwidth parameter, e.g., estimators as considered in Andrews and Monahan (1992), Newey and West (1994), or Rho and Shao (2013). For design matrices that are generic in a measure theoretic sense we prove that these tests either suffer from extreme size distortions or from strong power deficiencies. Despite this negative result we demonstrate that a simple adjustment procedure based on artificial regressors can often resolve this problem.
Language
English
Keywords
artificial regressors
Autocorrelation robustness
power deficiency
prewhitening
size distortion
HSG Classification
contribution to scientific community
Refereed
Yes
Publisher
Institute of Mathematical Statistics and Bernoulli Society
Volume
11
Number
1
Start page
2097
End page
2167
Official URL
Subject(s)
Eprints ID
266214