The Error in Rejection Probability of Simple Autocorrelation Robust Tests

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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Year of publication:	2004
Authors:	Jansson, Michael
Published in:	Econometrica. - Econometric Society. - Vol. 72.2004, 3, p. 937-946
Publisher:	Econometric Society

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005231861