Controlling the Size of Autocorrelation Robust Tests

Pötscher, Benedikt M. and Preinerstorfer, David (2016): Controlling the Size of Autocorrelation Robust Tests.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: Autocorrelation robust tests, size control
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes

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