A Reduced Rank Regression Approach to Tests of Asset Pricing

The performance of heteroskedasticity an

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; N. E. Savin 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 147 KB 👁 1 views

## Abstract This paper illustrates the pitfalls of the conventional heteroskedasticity and autocorrelation robust (HAR) Wald test and the advantages of new HAR tests developed by Kiefer and Vogelsang in 2005 and by Phillips, Sun and Jin in 2003 and 2006. The illustrations use the 1993 Fama–French t