Further results on size and power of heteroskedasticity and autocorrelation robust tests, with an application to trend testing
Journal
Electronic Journal of Statistics
Type
journal article
Date Issued
2019
Author(s)
Pötscher, Benedikt M.
;
Preinerstorfer, David
Abstract (De)
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.
Language
English
Keywords
Heteroskedasticity and autocorrelation
power deficiency
size distortion
trend testing
HSG Classification
contribution to scientific community
Refereed
Yes
Publisher
Institute of Mathematical Statistics and Bernoulli Society
Volume
13
Number
2
Start page
3893
End page
3942
Official URL
Subject(s)
Eprints ID
266212