Econometrica: May, 2004, Volume 72, Issue 3

The Error in Rejection Probability of Simple Autocorrelation Robust Tests

https://doi.org/10.1111/j.1468-0262.2004.00517.x
p. 937-946

Michael Jansson

A new class of autocorrelation robust test statistics is introduced. The class of tests generalizes the Kiefer, Vogelsang, and Bunzel (2000) test in a manner analogous to Anderson and Darling's (1952) generalization of the Cramér–von Mises goodness of fit test. In a Gaussian location model, the error in rejection probability of the new tests is found to be (log), where denotes the sample size.