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2019 Further results on size and power of heteroskedasticity and autocorrelation robust tests, with an application to trend testing
Benedikt M. Pötscher, David Preinerstorfer
Electron. J. Statist. 13(2): 3893-3942 (2019). DOI: 10.1214/19-EJS1611

Abstract

We complement the theory developed in Preinerstorfer and Pötscher (2016) with further finite sample results on size and power of heteroskedasticity and autocorrelation robust tests. These allow us, in particular, to show that the sufficient conditions for the existence of size-controlling critical values recently obtained in Pötscher and Preinerstorfer (2018) are often also necessary. We furthermore apply the results obtained to tests for hypotheses on deterministic trends in stationary time series regressions, and find that many tests currently used are strongly size-distorted.

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Benedikt M. Pötscher. David Preinerstorfer. "Further results on size and power of heteroskedasticity and autocorrelation robust tests, with an application to trend testing." Electron. J. Statist. 13 (2) 3893 - 3942, 2019. https://doi.org/10.1214/19-EJS1611

Information

Received: 1 May 2019; Published: 2019
First available in Project Euclid: 5 October 2019

zbMATH: 07116192
MathSciNet: MR4015784
Digital Object Identifier: 10.1214/19-EJS1611

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Vol.13 • No. 2 • 2019
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