Econometrica

The Error in Rejection Probability of Simple Autocorrelation Robust Tests

Journal Article

A new class of autocorrelation robust test statistics is introduced. The class of tests generalizes the Kiefer, Vogelsang, and Bunzel (2000) test in a manner analogous to Anderson and Darling's (1952) generalization of the Cramér–von Mises goodness of fit test. In a Gaussian location model, the error in rejection probability of the new tests is found to be O(T‐1logT), where T denotes the sample size.

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