Controlling the Size of Autocorrelation Robust Tests
Statistics Theory
2018-11-06 v3 Methodology
Statistics Theory
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.
Keywords
Cite
@article{arxiv.1612.06127,
title = {Controlling the Size of Autocorrelation Robust Tests},
author = {Benedikt M. Pötscher and David Preinerstorfer},
journal= {arXiv preprint arXiv:1612.06127},
year = {2018}
}
Comments
Minor changes including correction of a minor error