• Citer

Further results on size and power of heteroskedasticity and autocorrelation robust tests, with an application to trend testing

par Pötscher, Benedikt M;Preinerstorfer, David
Référence Electronic Journal of Statistics, 13, 2, page (3893-3942)
Publication Publié, 2019

Article révisé par les pairs

• Accès en ligne
• Détails
• Contenu
• Statistiques

Résumé :

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 (2018) 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.