Sun, Yixiao; Kaplan, David M. - Department of Economics, University of California-San … - 2011
We develop a new asymptotic theory for autocorrelation robust tests using a vector autoregressive (VAR) covariance matrix estimator. In contrast to the conventional asymptotics where the VAR order goes to infinity but at a slower rate than the sample size, wehave the VAR order grow at the...
