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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Bibliographic Details
Main Authors: SUN, Yixiao, Phillips, Peter C. B., JIN, Sainan
Format: text
Language:English
Published: 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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