The Error in Rejection Probability of Simple Autocorrelation Robust Tests
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Publication:5475037
DOI10.1111/j.1468-0262.2004.00517.xzbMath1091.62073OpenAlexW2100931942MaRDI QIDQ5475037
Publication date: 16 June 2006
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1468-0262.2004.00517.x
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Robustness and adaptive procedures (parametric inference) (62F35) Economic time series analysis (91B84) Asymptotic properties of parametric tests (62F05)
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