Preinerstorfer, David (2014): Finite Sample Properties of Tests Based on Prewhitened Nonparametric Covariance Estimators.
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Abstract
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 autocorrelationcorrected Ftype tests based on prewhitened nonparametric covariance estimators that possibly incorporate a datadependent 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.
Item Type:  MPRA Paper 

Original Title:  Finite Sample Properties of Tests Based on Prewhitened Nonparametric Covariance Estimators 
Language:  English 
Keywords:  Autocorrelation robustness, HAC test, fixedb test, prewhitening, size distortion, power deficiency, artificial regressors. 
Subjects:  C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C12  Hypothesis Testing: General C  Mathematical and Quantitative Methods > C3  Multiple or Simultaneous Equation Models ; Multiple Variables > C32  TimeSeries Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models 
Item ID:  64245 
Depositing User:  David Preinerstorfer 
Date Deposited:  09 May 2015 14:09 
Last Modified:  28 Sep 2019 08:06 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/64245 
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Finite Sample Properties of Tests Based on Prewhitened Nonparametric Covariance Estimators. (deposited 06 Sep 2014 10:12)
 Finite Sample Properties of Tests Based on Prewhitened Nonparametric Covariance Estimators. (deposited 09 May 2015 14:09) [Currently Displayed]