Power Maximization and Size Control of Heteroscedasticity 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 2011
• 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; Economic Theory
• Online Access: https://ink.library.smu.edu.sg/soe_research/1336; https://ink.library.smu.edu.sg/context/soe_research/article/2335/viewcontent/PowerMaximizationHAR_2011.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 (ρ). We show that the nonstandard fixed-ρ limit distributions of the t-statistic provide more accurate approximations to the finite...