Power Maximization and Size Control in Heteroskedasticity and Autocorrelation Robust Tests with Exponentiated Kernels

• Main Authors: SUN, Yixiao, Phillips, Peter C. B., JIN, Sainan
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2009
• Subjects: Asymptotic expansion; HAC estimation; Long run variance; Loss function; Optimal smoothing parameter; Power kernel; Power maximization; Size control; Type I error; Type II error; Econometrics
• 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
• Institution: Singapore Management University

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...