Further results on size and power of heteroskedasticity and autocorrelation robust tests, with an application to trend testing

DOI10.1214/19-EJS1611zbMath1429.62411arXiv1708.08688MaRDI QIDQ2326985

David Preinerstorfer, Benedikt M. Pötscher

Publication date: 11 October 2019

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1708.08688

zbMATH Keywords

size distortionheteroskedasticity and autocorrelationtrend testingpower deficiencystationary time series regression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Uses Software

• AS 155
• acrt

Cites Work

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• Algorithm AS 155: The Distribution of a Linear Combination of χ 2 Random Variables
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• Automatic Lag Selection in Covariance Matrix Estimation
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• Simple Robust Testing of Regression Hypotheses
• HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
• Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
• On the Estimation of Regression Coefficients in the Case of an Autocorrelated Disturbance

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