Power Maximization and Size Control of Heteroscedasticity and Autocorrelation Robust Tests with Exponentiated Kernels

Power Maximization and Size Control of Heteroscedasticity 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 (ρ). We show that the nonstandard fixed-ρ limit distributions of the t-statistic provide more accurate approximations to the finite...

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書目詳細資料
Main Authors:	SUN, Yixiao, PHILLIPS, Peter C. B., JIN, Sainan
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2011
主題:	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
在線閱讀:	https://ink.library.smu.edu.sg/soe_research/1336 https://ink.library.smu.edu.sg/context/soe_research/article/2335/viewcontent/PowerMaximizationHAR_2011.pdf
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機構:	Singapore Management University
語言:	English

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