The Performance of Heteroskedasticity and Autocorrelation Robust Tests: a Monte Carlo Study with an Application to the Three-factor Fama-french Asset Pricing Model
نویسندگان
چکیده
THE PERFORMANCE OF HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS: A MONTE CARLO STUDY WITH AN APPLICATION TO THE THREE-FACTOR FAMA-FRENCH ASSET PRICING MODEL Surajit Ray and N. E. Savin a Bear Stearns Asset Management, 60 East 42nd Street, Suite 2544, New York, NY 10165 Department of Economics, Tippie College of Business, University of Iowa, 108 John Pappajohn Bus. Bldg., Iowa City, IA 52242-1000 March 23, 2007
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