On the Power of Invariant Tests for Hypotheses on a Covariance Matrix
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- Preinerstorfer, David & Pötscher, Benedikt M., 2017. "On The Power Of Invariant Tests For Hypotheses On A Covariance Matrix," Econometric Theory, Cambridge University Press, vol. 33(01), pages 1-68, February.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Pötscher, Benedikt M. & Preinerstorfer, David, 2016. "Controlling the Size of Autocorrelation Robust Tests," MPRA Paper 75657, University Library of Munich, Germany.
- Preinerstorfer, David, 2014. "Finite Sample Properties of Tests Based on Prewhitened Nonparametric Covariance Estimators," MPRA Paper 58333, University Library of Munich, Germany.
More about this item
Keywordspower function; invariant test; autocorrelation; spatial correlation; zero-power trap; indistinguishability; Durbin-Watson test; Cliff-Ord test;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-04-18 (All new papers)
- NEP-ECM-2014-04-18 (Econometrics)
- NEP-ETS-2014-04-18 (Econometric Time Series)
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