The Error in Rejection Probability of Simple Autocorrelation Robust Tests
AbstractA 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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Bibliographic InfoArticle provided by Econometric Society in its journal Econometrica.
Volume (Year): 72 (2004)
Issue (Month): 3 (05)
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