Controlling the Size of Autocorrelation Robust Tests
classification
🧮 math.ST
stat.MEstat.TH
keywords
autocorrelationrobustsizetestsappropriatechoiceconditionscontrolled
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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.
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