Preinerstorfer, David and Pötscher, Benedikt M. (2013): On Size and Power of Heteroscedasticity and Autocorrelation Robust Tests.
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Abstract
Testing restrictions on regression coefficients in linear models often requires correcting the conventional Ftest for potential heteroscedasticity or autocorrelation amongst the disturbances, leading to socalled heteroskedasticity and autocorrelation robust test procedures. These procedures have been developed with the purpose of attenuating size distortions and power deficiencies present for the uncorrected Ftest. We develop a general theory to establish positive as well as negative finitesample results concerning the size and power properties of a large class of heteroskedasticity and autocorrelation robust tests. Using these results we show that nonparametrically as well as parametrically corrected Ftype tests in time series regression models with stationary disturbances have either size equal to one or nuisanceinfimal power equal to zero under very weak assumptions on the covariance model and under generic conditions on the design matrix. In addition we suggest an adjustment procedure based on artificial regressors. This adjustment resolves the problem in many cases in that the soadjusted tests do not suffer from size distortions. At the same time their power function is bounded away from zero. As a second application we discuss the case of heteroscedastic disturbances.
Item Type:  MPRA Paper 

Original Title:  On Size and Power of Heteroscedasticity and Autocorrelation Robust Tests 
English Title:  On Size and Power of Heteroscedasticity and Autocorrelation Robust Tests 
Language:  English 
Keywords:  Size distortion, power deficiency, invariance, robustness, autocorrelation, heteroscedasticity, HAC, fixedbandwidth, longrunvariance, feasible GLS 
Subjects:  C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C12  Hypothesis Testing: General C  Mathematical and Quantitative Methods > C2  Single Equation Models ; Single Variables > C20  General 
Item ID:  45675 
Depositing User:  Benedikt Poetscher 
Date Deposited:  30 Mar 2013 16:47 
Last Modified:  29 Sep 2019 21:07 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/45675 
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