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The Error in Rejection Probability of Simple Autocorrelation Robust Tests

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Author Info
Michael Jansson

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Abstract

A new class of autocorrelation robust test statistics is introduced. The class of tests generalizes the Kiefer, Vogelsang, and Bunzel (2000) test in a manner analogous to Anderson and Darling's (1952) generalization of the Cramér-von Mises goodness of fit test. In a Gaussian location model, the error in rejection probability of the new tests is found to be O(T-super--1logT), where T denotes the sample size. Copyright The Econometric Society 2004.

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File URL: http://hdl.handle.net/10.1111/j.1468-0262.2004.00517.x
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Publisher Info
Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 72 (2004)
Issue (Month): 3 (05)
Pages: 937-946
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Handle: RePEc:ecm:emetrp:v:72:y:2004:i:3:p:937-946

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  1. Surajit Ray & N. E. Savin, 2008. "The performance of heteroskedasticity and autocorrelation robust tests: a Monte Carlo study with an application to the three-factor Fama-French asset-pricing model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(1), pages 91-109. [Downloadable!]
  2. Ye Cai & Mototsugu Shintani, 2005. "On the Long-Run Variance Ratio Test for a Unit Root," Working Papers 0506, Department of Economics, Vanderbilt University. [Downloadable!]
  3. Peter C.B. Phillips & Yixiao Sun & Sainan Jin, 2005. "Improved HAR Inference," Cowles Foundation Discussion Papers 1513, Cowles Foundation, Yale University. [Downloadable!]
  4. Sainan Jin & Peter C.B. Phillips & Yixiao Sun, 2005. "A New Approach to Robust Inference in Cointegration," Cowles Foundation Discussion Papers 1538, Cowles Foundation, Yale University. [Downloadable!]
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  5. Choi, Hwan-sik & Kiefer, Nicholas M., 2006. "Robust Model Selection in Dynamic Models with an Application to Comparing Predictive Accuracy," Working Papers 06-09, Cornell University, Center for Analytic Economics. [Downloadable!]
  6. Jen-Je Su, 2004. "Testing for no autocorrelation using a modified Lobato test," Economics Bulletin, Economics Bulletin, vol. 3(46), pages 1-9. [Downloadable!]
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