The error in rejection probability of simple autocorrelation robust tests

被引：68

作者：

Jansson, M ^{[1
]}

机构：

[1] Univ Calif Berkeley, Dept Econ, Berkeley, CA 94720 USA

来源：

ECONOMETRICA | 2004年 / 72卷 / 03期

关键词：

asymptotic expansion; autocorrelation robust inference;

D O I：

10.1111/j.1468-0262.2004.00517.x

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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 Cramer-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-1 log T), where T denotes the sample size.

引用

页码：937 / 946

页数：10

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