Controlling the size of autocorrelation robust tests

Pötscher, Benedikt M
Preinerstorfer, David

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Publication date

December 2018

DOI

10.1016/j.jeconom.2018.08.005

Publisher

Elsevier BV

ISSN

0304-4076

Citation count (estimate)

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.SCOPUS: ar.jDecretOANoAutActifinfo:eu-repo/semantics/publishe

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Controlling the size of autocorrelation robust tests

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Controlling the size of autocorrelation robust tests

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