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2017 Finite sample properties of tests based on prewhitened nonparametric covariance estimators
David Preinerstorfer
Electron. J. Statist. 11(1): 2097-2167 (2017). DOI: 10.1214/17-EJS1281

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 autocorrelation-corrected F-type tests based on prewhitened nonparametric covariance estimators that possibly incorporate a data-dependent 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.

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David Preinerstorfer. "Finite sample properties of tests based on prewhitened nonparametric covariance estimators." Electron. J. Statist. 11 (1) 2097 - 2167, 2017. https://doi.org/10.1214/17-EJS1281

Information

Received: 1 March 2016; Published: 2017
First available in Project Euclid: 19 May 2017

zbMATH: 1365.62075
MathSciNet: MR3652881
Digital Object Identifier: 10.1214/17-EJS1281

Subjects:
Primary: 62F03
Secondary: 62F35 , 62J05 , 62M10 , 62M15

Keywords: artificial regressors , Autocorrelation robustness , power deficiency , prewhitening , size distortion

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Vol.11 • No. 1 • 2017
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