Econometrica: May 2004, Volume 72, Issue 3
The Error in Rejection Probability of Simple Autocorrelation Robust Tests
Michael JanssonA 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 (log), where denotes the sample size.
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