Open Access. Powered by Scholars. Published by Universities.®
Social and Behavioral Sciences Commons™
Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 1 of 1
Full-Text Articles in Social and Behavioral Sciences
Power Maximization And Size Control Of Heteroscedasticity And Autocorrelation Robust Tests With Exponentiated Kernels, Yixiao Sun, Peter C. B. Phillips, Sainan Jin
Power Maximization And Size Control Of Heteroscedasticity And Autocorrelation Robust Tests With Exponentiated Kernels, Yixiao Sun, Peter C. B. Phillips, Sainan Jin
Research Collection School Of Economics
Using the power kernels of Phillips, Sun, and Jin (2006, 2007), we examine the large sample asymptotic properties of the t-test for different choices of power parameter (ρ). We show that the nonstandard fixed-ρ limit distributions of the t-statistic provide more accurate approximations to the finite sample distributions than the conventional large-ρ limit distribution. We prove that the second-order corrected critical value based on an asymptotic expansion of the nonstandard limit distribution is also second-order correct under the large-ρ asymptotics. As a further contribution, we propose a new practical procedure for selecting the test-optimal power parameter that addresses the central …