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

Original Title:  Controlling the Size of Autocorrelation Robust Tests 
English Title:  Controlling the Size of Autocorrelation Robust Tests 
Language:  English 
Keywords:  Autocorrelation robust tests, size control 
Subjects:  C  Mathematical and Quantitative Methods > C2  Single Equation Models ; Single Variables > C22  TimeSeries Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes 
Item ID:  88815 
Depositing User:  Benedikt Poetscher 
Date Deposited:  10 Sep 2018 17:03 
Last Modified:  26 Sep 2019 16:19 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/88815 
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Controlling the Size of Autocorrelation Robust Tests. (deposited 19 Dec 2016 21:40)

Controlling the Size of Autocorrelation Robust Tests. (deposited 28 Mar 2018 19:04)
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Controlling the Size of Autocorrelation Robust Tests. (deposited 28 Mar 2018 19:04)