Sun, Yixiao; Phillips, Peter C.B.; Jin, Sainan - In: Econometric Theory 27 (2011) 06, pp. 1320-1368
Using the power kernels of Phillips, Sun, and Jin (2006, 2007), we examine the large sample asymptotic properties of the <italic>t</italic>-test for different choices of power parameter (<italic>ρ</italic>). We show that the nonstandard fixed-<italic>ρ</italic> limit distributions of the <italic>t</italic>-statistic provide more accurate approximations to the...
