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Monte Carlo tests of autocorrelation

✍ Scribed by Henri Theil; J.S. Shonkwiler

Book ID
116100043
Publisher
Elsevier Science
Year
1986
Tongue
English
Weight
294 KB
Volume
20
Category
Article
ISSN
0165-1765

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## 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