Controlling the size of autocorrelation robust tests

A-Tier

Journal: Journal of Econometrics

Year: 2018

Volume: 207

Issue: 2

Pages: 406-431

Authors (2)

Pötscher, Benedikt M. (Universität Wien) Preinerstorfer, David (not in RePEc)

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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Abstract

Autocorrelation robust tests are notorious for suffering from size distortions and power problems. We investigate under which conditions the size of autocorrelation robust tests can be controlled by an appropriate choice of critical value.

Controlling the size of autocorrelation robust tests

Authors (2)

Abstract

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