Finite sample properties of tests based on prewhitened nonparametric covariance estimators

DOI10.1214/17-EJS1281zbMath1365.62075arXiv1409.1419MaRDI QIDQ2396342

David Preinerstorfer

Publication date: 8 June 2017

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

Full work available at URL: https://arxiv.org/abs/1409.1419

zbMATH Keywords

size distortionprewhiteningpower deficiencyartificial regressorsautocorrelation robustness

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03) Robustness and adaptive procedures (parametric inference) (62F35) Inference from stochastic processes and spectral analysis (62M15)

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