Controlling the size of autocorrelation robust tests

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Authors Benedikt M. Potscher, David Preinerstorfer
Journal/Conference Name Working Paper
Paper Category
Paper Abstract Autocorrelation robust tests are notorious for suffering from size distortions and power problems. We investigate under which conditions the size of autocorrelation robust tests can be controlled by an appropriate choice of critical value.
Date of publication 2016
Code Programming Language R

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