Power Maximization and Size Control in Heteroskedasticity and Autocorrelation Robust Tests with Exponentiated Kernels
Using the power kernels of Phillips, Sun and Jin (2006, 2007), we examine the large sample asymptotic properties of the t-test for different choices of power parameter (rho). We show that the nonstandard fixed-rho limit distributions of the t-statistic provide more accurate approximations to the fin...
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Main Authors: | SUN, Yixiao, Phillips, Peter C. B., JIN, Sainan |
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Format: | text |
Language: | English |
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Institutional Knowledge at Singapore Management University
2009
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Online Access: | https://ink.library.smu.edu.sg/soe_research/1166 https://ink.library.smu.edu.sg/context/soe_research/article/2165/viewcontent/PowerMaxSizeControl_2009_wp.pdf |
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Institution: | Singapore Management University |
Language: | English |
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