Accurately sized test statistics with misspecified conditional homoskedasticity
نویسندگان
چکیده
منابع مشابه
Accurately Sized Test Statistics with Misspecified Conditional Homoskedasticity
We study the problem of obtaining accurately sized test statistics in finite samples for linear regression models where the error dependence is of unknown form. With an unknown dependence structure there is traditionally a trade-off between the maximum lag over which the correlation is estimated (the bandwidth) and the decision to introduce conditional heteroskedasticity. In consequence, the co...
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ژورنال
عنوان ژورنال: Journal of Statistical Computation and Simulation
سال: 2011
ISSN: 0094-9655,1563-5163
DOI: 10.1080/00949650903463574